My experience with route changes (which is not that uncommon) is that SK automatically changes your booking to first available (on own metal), but does not necessarily inform you. You might then have an impossible routing, which you might discover by chance by checking your booking manually. I would presume that the reason for this, is that it is better to have a hot booking in the system, rather than a ticket that is not booked in any flight.

On a later time, these are checked and corrected (AFAIK manually if the booking was impossible) and you will be sent an e-mail informing you of the changes. You then have ten days to accept the changes.

If you discover this before the mail is sent out, Customer Service will correct this for you. I would pressed SAS to change the booking to the LH connection, as any supplementary costs for this involuntary rerouting would have been picked up by SK. When the OP cancelled, he lost this right.