You Do Need power plug adapter while traveling from Saint Helena to Madeira.

Here is Why You Need An Adapter

The outlet and plug type used in Madeira are C and F and in Saint Helena is G. This is how they look like.

Saint Helena

In Saint Helena, outlets of type G are in use.

Type G

Madeira

In Madeira, outlets of type C and F are in use.

Type C

Type F