Now, I don't know Pinzolo and I've skied at Madonna too many years ago, but to my recollection there's some good black runs to ski
there. The 3tre on one side and in the Grosté area on the opposite side (Madonna lies at the bottom of a valley, with two "separate" ski area)
Maps here :
Madonna is now linked with Marilleva and Folgarida, making it one skiing area, crossing a divide, one can reach
Marilleva, which is in the valley leading up to Passo Tonale.
Tonale, a bit higher in elevation, hasd both easier and more challenging runs, there's a small glacier on top, and its runs are connected to Ponte di Legno and Temu' area
But the two areas aren't connected.
If one is to look at a map, say google earth, for Madonna di Campiglio, would immediately see that, as the crow flies, Madonna, Marilleva, Folgarida and Passo Tonale aren't far form one another, but the thing is, there's a mountain in the middle, so to reach Passo Tonale from Madonna will involve skiing to Marilleva and then to take a car (or a cab, which will co$t), then to buy a second pass. Or to take a car and drive round the mountain...
It depends how many days you'll be staying there. A week ? Well, I reckon Pinzolo ski area will last one/two days. Madonna/Folgarida/Marilleva maybe 2-4. There, you've covered the area, staying on the groomed only (and maybe a little of side-piste, woods and the likes)
If you'd like some off-piste adventure, Tonale, to my recollection, offers both heliskiing and cat skiing, but I don't know the details.
I don't know if there is a similar offer on the "other side" in Madonna, but suppose so.
I warn you. The media is crucifying freeskiers this winter. There's a feeding frenzy to report with hype and drama even the smallest avalanche, each death and each accident. There's a big focus on freeskiers. So, if you plan to ski off-piste far from the resorts (unless you're skiing side-piste, but even there...if there'd be avalanche risks, town mayors could declare all off-piste to be forbidden), do it with a guide and rent the APS pack (Artva, Pala, Sonda = Beacon, Shovel, Probe).