@ANDuncan! - I believe that Lanzarote is part of the EU, by virtue of it's relationship to Spain, although it is, if I recall, considered not to be for Customs and Duty purposes.
Clearly you will do what feels best to you, but speaking entirely on a personal basis, if I were in your shoes, I would tend straightforwardly not to go back there. You are on holiday, presumably for a limited time, of a week or a couple of weeks? In that situation, I would want to enjoy my holiday, rather than launch into battle over something that is unlikely to be truly resolved in one or two interactions with a single individual.
If that feels like doing nothing, you could consider mentioning to your holiday rep, if you have one.
I appreciate that the action I would take doesn't help other people in the same situation as yourself, but it would seem such a shame for your holiday to be more over-shadowed by this incident than it already has been.