If you arrive in non-Schengen from an "unclean country" where you have to go through security to connect, then you are on an upper level where you either walk straight to passport control and you are forced to go to baggage claim, or you go through security and then downstairs to passport control in the "big hall" and enter the Schengen part of the airport.

I am pretty sure that arriving from the UK in the C pier then all passengers go to this same passport control on the lower level (you are allowed to mix with departing passengers), so they then enter the Schengen area close to the SAS lounges. Arriving passengers would then take an escalator down to baggage claim while you would be free to wander the terminal.

I have not arrived from a clean origin (e.g. US or UK) at CPH in recent years on the non-Schengen side, but I am pretty sure that's the way it works.