I've helped run a couple of training camps in Spain and spent a winter there a few years ago. Not in either Valencia or Malaga, though, I was in the Alicante region, so I really can't help with the choice between your options.

In general, riding in Spain is a blast and racing is easy to get into. I don't know the US system, but over here if you have a racing licence you contact British Cycling and tell them you want to race abroad and they give you the documentation you need to show to the Spanish race promotors. But in my limited experience, showing up with a UK racing licence and paying the entry fee on the day was fine with organisers. Also worth checking out online what cycling clubs exist in the area you choose, there are often groups out training in the evenings and, again in my experience, they are very welcoming to visitors - especially those who try to speak Spanish, however poorly. They are often complete dog-eat-dog hammerfests, though, don't expect too much in the way of disciplined chaingangs. And don't be surprised if the group hammers through a few red lights along the way.