Don't quote me on this, but it might have something to do with the Duty Free stores at the airport. Icelandic passengers have a propensity to purchase huge quantities of Duty Free alchohol (since local prices tend to be prohibitively high) and the current layout permits pax to access the Duty Free stores upon arrival en route to baggage claim (which also has its own Duty Free store).

Also, the non-Schengen gates and the immigration checkpoint are located right at the end of the terminal - the furthest point away from baggage claim. Considering that no more than 5% of passengers are originating from a non-EU destination and terminating in KEF (versus transfering at KEF which would require a security check anyway or originating at an EU airport in which case Duty Free in sealed bags would be acceptable), there really isn't a significant constituency to justify it.