The only time they run late, I believe, is during the Malaga Feria.
It does seem really strange that a country which 'stays up, dines, dicos, etc so late' would not have a better service.
Incidentally, if you use taxis, which do not have a meter, ALWAYS ask what the fare will be before getting in. (They all have a computer list of prices which you can ask to see)
I just found this:-
From September 11th, the Cercanías rail line between Malaga and Fuengirola increase frequency of service, up from 70 to 104 trains on weekdays. There will be a train every 20 minutes instead of every 30 as before.