I do this route quite a lot.
Lounge access at CPH is the same. Lounges at EWR are different, but I prefer the CO lounges to the SK lounge at EWR even as the food/beverage selection at the SK EWR lounge is better than what CO offers.
Fast-track security is not provided at CPH when flying CO, but it is provided when flying SK. Fast-track security at EWR is better with SK than with CO.
Check-in at CPH is more consistently quicker for me with CO than with SK, but a fair amount of time is eaten up with CO by having to get myself from the SK terminal to the other terminal for CO at CPH. At EWR, check-in with SK is often quicker than with CO; however, given I'm usually connecting from DCA on my way to CPH -- I still avoid IAD -- check-in at EWR isn't an issue for me; that, or I check-in at EWR in the morning so I can go directly to the gate upon returning from Manhattan.
Boarding process, a wash IMO; but at least with CO, more flexible cabin baggage practices.
In-flight hard product -- I prefer CO now to SK.
In-flight service -- I prefer SK.
... for half the price, I'd definitely pick CO. For any discount, I'd pick CO.
In most programs, Z on CO mostly credits like full fare economy class tickets. However, if booking a Z fare with the UA/CO-operated flight marketed as a LH flight (for example), the UA/CO-operated flight connecting CPH with EWR may end up crediting as a J booking class flight.
Given UA/CO's program doesn't charge fuel surcharges on mileage tickets, crediting the flights to UA/CO's program may make some sense if you plan to use them for a one-way ticket in Europe that would otherwise be expensive. If familiar with how fuel-dumping works for regular paid tickets, perhaps this will be of extraordinary use.
