This is a Warming advice rather than a Danger one.
Maybe you are confused with El Escorial and San Lorenzo de El Escorial. Both of them are different towns, with different mayor, different city hall, different council, etc. Both towns are, let's say, some meters apart or maybe, offically, no meters at all. As soon as one town ends, the other one begins.
However, all of us say El Escorial to call San Lorenzo de El Escorial because, as you can realize, it's much shorter. The Monastery is in San Lorenzo de El Escorial.
For those who want to go by train, this is the advice. The railway station is in El Escorial, so, if you check the schedules, look for El Escorial. From the station, there are buses that will take you to San Lorenzo de El Escorial in just a few minutes.
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