You could also consider SK via CPH or a SK/CO combo via CPH (or alternatively ARN or OSL). Nothe though that CO flies 757s to Scandinavia
SK's economy product is decent and in terms og inflight comfort I would certainly rate it over LH. And CPH and ARN is most certainly easier transer points than FRA and MUC.
From what I have tried recently I would rate your initial choices LX > LH > UA