Travelling in the Schengen Zone
score:2
The reason airlines sometimes ask for return tickets before they issue a boarding pass is that some countries require proof of return or onward travel as a condition of admitting certain travelers. Those travelers won't make it through the passport check on arrival if they don't have the necessary ticket.
Worse, if the airline brings such a traveler to the destination country without that proof, the airline will usually be liable for a fine that can be as much as several thousand dollars/euros/pounds.
None of this applies to intra-Schengen travel. There is no immigration check on arrival, and the airline is not required to enforce immigration law.
Some airlines in the low-cost sector are notorious for doing so anyway, but there does not appear to be any risk of a fine to the airline if they don't; rather, it appears to be another revenue stream. Alitalia and KLM are not among the airlines that do this.
(A previous version of this answer addressed the arrival in Spain.)
Upvote:2
I think you are overthinking. You are doing a very common type of travel.
You need a ticket which bring you outside Schengen. It is not important from where. Is is very common to arrive on a airport and depart to an other, either for business and for travel. (medium and long travels. Daily travels inside Schengen, or to/from e.g. UK or nearby countries are different).
In any case the officers could ask you for your travel plan (you do no need all documents, but having solid ideas), so it makes plausible you depart from an other airport.
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