I will travel from Colombia to Rome - Italy but have a connecting flight in Madrid - Spain
Where will I have to go through customs?
I chose Italy as my destination since I'm required to have less money in there (€27,89 per day + €206,58), compared to Spain (€108 per day), but since I first land in Spain
I think I may have to go through customs there and demonstrate I have €108 per day.
I'd appreciate the help.

You will go through immigration (passport conrol) in Madrid. This is where they decide whether to allow you to enter. They may or may not ask you to verify if you have enough money. As a US Citizen, coming from the US I have never been asked that question so I have no idea what amount you'd need to verify you have.

My understanding is that you do not need to have that much money actually with you, but have it available to pay for your travels. That could be a credit card or bank account, so some kind of paperwork that shows how much money you have in the bank might be ok. I don't know.

You will go through customs in Italy. For most travelers customs is simply walking out the green lane door and you never stop or talk to anybody. If you are bring with you more than you are allowed to import then you will go to the red lane for inspection of your luggage. I have never gone through the red lane over many years of trips to Europe.

Strange Spain is asking for more money. Should be basically the same rules around the Schengen zone. The money required includes things like lodging etc. A prebooked hotel already blows past €28