You can buy tickets with a change, it's possible it won't come up straight away but if you click on "con Transbordo" then it'll show you those tickets. However, this only works for one change, if your journey needs more than one change then in my experience you normally need to book more than one ticket. If you get the message "
Para el trayecto de IDA no existe conexion directa o este tren no circula en la fecha solicitada, si lo desea puede consultar el mismo trayecto con transbordo", that's to check journeys with a change.
One thing to bear in mind is that Benidorm is only served by rail by FGV (Ferrocarrils de la Generalitat Valenciana, the regional government's train service) and so the RENFE ticket you'll need to buy is from Alicante. You'll then need to buy a separate ticket from Benidorm to Alicante on FGV (or by bus).
I think it's also a lot easier (and quicker) to travel via Madrid to get from Granada to Alicante/Benidorm, as otherwise the journey by rail would take you via Alcazar de San Juan and Xativa (changing at both). The journey via Madrid is high speed from Antequera to Madrid and then from Madrid to Alicante, and the departure and arrival are both at Puerta de Atocha. The only connection I can find via the Alcazar de San Juan route used a sleeper to Albacete or Valencia (arriving in the early hours of the morning) and then onwards to Alicante from there.
Hope this is of some use!
