If you flying Saga class you will get access to CPH SK Business Lounge (not the Gold one upstairs) and if you fly Premium Eco there is some other lounge (Servisair?). Sorry never flew them in M.

SK out of KEF you get access to Saga Lounge as EBG or C-class. Saga Lounge is one of the best European lounges in my list, good drinks and snacks and even hot food at peak US connection times.

FI is much better onboard product either class but no miles. I'm visiting the Rock a few times a year and I'm always taking FI. SK 737-400/700/800 are just mission impossible even in business.