Real Madrid should focus on Copa Del Rey and the Champions League. But Madrid should not be too worried about the Copa Del Rey final. I don't think the opposition Osasuna team is very strong. If Madrid's performance is stable, they can become champions of the Copa Del Rey.
If they want to win the Champions League title, Madrid will have to focus completely on the Champions League matches. Madrid had a great performance in the quarter-finals. They will likely play against Manchester City in the semi-finals. It will not be easy for Madrid to play against Guardiola's team. Moreover, Haaland is in very good form. Manchester City can't be beaten if they are not fully focused and in rhythm.
But in reality, in the Champions League match, they managed to win against Chelsea with a very long score. Real Madrid showed that they could also win in the Champions League. Luckily, Chelsea was not in good shape, so they were very easy to beat, and of course Real Madrid took advantage of moments like this to get additional points.
Except for La Liga, Real Madrid has this amazing quality of striking when the opponent expects it the least and even slightly controls the game. Chelsea was not playing a bad game but then again Real Madrid was there. The same was against Barcelona in the Copa del Rey when Barcelona thought they have a chance after the first leg, but Real Madrid struck back brutally. The 0-4 didn't leave any questions open whatsoever. You can see that they are not giving 100% in La Liga anymore, but they are one of the few teams who can change their game depending on the competition. Napoli tried the same in Italy, let Serie A go a bit and then play well in the Champions League, but now we know the result.