Madrid, in danger of finishing the season empty-handed after losing the King's Cup final and crashing out of the Champions League, went behind after just two minutes when Valdo put the visitors ahead.
The former world number one had also been among the pre-event favourites for Sunday's King George V Gold Cup on Sunday aboard his probable London 2012 horse Gig Amai.
However, Redknapp is eager to make it clear that he wants to see King add to his 19 England caps - and also play in the 2010 World Cup finals in South Africa.
Redknapp has insisted he is not standing in the way of King's England career and offered to drive the 28-year-old to the 2010 World Cup in South Africa if he was picked.
The visitors got the perfect start in the first meeting of the sides since last season's Challenge Cup final, going ahead in the third minute when King finished off a flowing cross-field move involving Richie Mathers, Richie Myler and Ben Harrison.
Vedran Corluka, who played at right-back on Sunday, is cup-tied for the club's Uefa Cup trip to Nijmegen on Thursday, while skipper Ledley King will be rested.