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"Bizarrely they actually work out cheaper than flying with SAS direct."

Nothing bizarre about that at all. Airlines know that many passengers prefer a nonstop flight to having to connect somewhere. So the airlines that offer nonstops can often charge a premium for those flights, while the airlines that only offer connections on a particular route must offer discounts to attract passengers. In fact, it's possible that CPH-AMS-BHX on KLM will cost less than CPH-AMS by itself!