Two months ago my bag was delayed in AMS when travelling to ARN on KLM (who also outsource to Menzies).

They have a both right by the baggage claim area in Terminal 2 where you can file a claim before you pass through customs and they open a case for you and you can determine where you want the bag sent or whom to be contacted when located. They also give an ETA. They have another counter after you pass through customs if you walk back to the check-in counters.

Did it take a lot of time? Yes, it did. When I arrived only my flight was in the baggage claim area and about 10-15 people had lost luggage but since I had received an email notifying me my bag would be lost I was third in line, still took over 10 minutes, but the bag was delivered by taxi within 6hrs.

SAS have their own staff, SGH, who handles this for most of star alliance. I've dealt with them, too. I wouldn't say they are better than Menzies. They ask you the same questions and work roughly at the same speed only some professions can.