Totally normal. I do a lot of CPH-KRK/WAW/WRO or CPH-VIE and often enough end up connecting though FRA, MUC or ZRH. Most of the times since the direct flight for that day is already fully booked or just has full fare business seats left and I can get e.g. CPH-MUC-WRO for 250€ instead of 1000€ for the direct flight.

Also this is FlyerTalk! Most people enjoy being on planes and airports and also every extra connections awards extra miles! So in the true spirit of Flyertalk try to weave in as much connections as possible but manage to get wherever you need to go in time!

EDIT:// by the way... do not take the SAS/KLM connection trough FRA! That cannot be booked on a single ticket as SAS and KLM do not cooperate or codeshare! It will be two separate tickets and if you miss your connection... well... then you are stuck in FRA. Sounds like a Kayak "hacker fare"... be careful with those. Or is it in fact SAS and LH? Than it would be a good connection.