I was being a little tongue-in-cheek, though not completely, but ...
I have two routes from Madrid up north towards the Francès on my iGn European Caminos map. The Palencia route is completely different to the Camino de Madrid, and probably not waymarked.
However, it does seem that the current be-yellow-arrow'd Camino de Madrid goes to Sahagun via Segovia rather than to Léon as on my map -- which I must confess is older than the waymarkers are on that route. Probably a wise choice by the Madrid pilgrim association, as the terrain south of Léon can be a tad harsh, and the very busy main road that the traditional route likely corresponds to was a dire environment to be in even 20 years ago. It seems to bypass Valladolid, you're right, though I think that the historic route would surely have passed through that city.
http://www.caminosantiago.org/cpperegrino/caminos/caminover.asp?CaminoId=11