Ronda to Setenil de las Bodegas via train + taxi?

I booked a Renfe train (15 min) from Ronda to Seteni, since there's no bus service today. It seems quite easy, a 15 min train ride and 7 minute taxi from the Setenil station into town.

However, a lot of sites say that taking the train isn't an option, and others have discouraged it. Why would this be? Is there an issue I'm not aware of? Will there be taxis available at the station?

Thanks!