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You did not state this but since you arrived in Malaga I am assuming you are the holder of a Schengen Visa
Your visa would be checked from the UK to Malaga because the UK is not part of the Schengen Agreement so you are traveling from a country who does not participate in that agreement to a country that is participating hence your Visa will be checked
As for your question about Malaga to Cologne since both countries are part of the Schengen Agreement your Visa will not need to be checked at every border crossing
Having a wife who is non EU citizen we have travelled Europe substantially over the years and visas are rarely checked on intra Schengen travels although itβs not unheard of.