Hi nevado! You ask a good question. I stumbled across the store in Plaza de España several years ago and that was the last time that I was there. I managed to load up on chinese sausage and buy the bok choy that I was looking for.
Since then I have been going to the ones in Tetuan since they aren't far from where I live and carry all the products that I typically buy.
I am not as nearly adventurous as you with the cilantro root, although I am sure that they would probably have it in the dozens of Latin American food shops that also populate Tetuán.
Someone mentioned
Sanchez Romero . I have heard that they have an extensive selection of American products and other produce that is hard to find. However, I haven't been there to see for myself,..and since I have plenty of ethnic food stores almost at my doorstep, I prefer to support the little guys. There is even a store near me that sells "afro-caribbean" products, including bushmeat!
Perhaps the next time you are in Madrid you could check out Sanchez Romero to see if they have what you are looking for!