Yes they did. They had to pay in the lower courts, but they did get off with it in the Danish Supreme court.
As I read the judgement, it is not a general "get-out-of-jail"-card (even though SAS didn't get the court costs refunded by the losing customers, as this was a judgement that would be a precedent for SAS, and thus of economical benefit to SAS).
SAS got off, because the delay next day was relatively minor (3 h 45 min), SAS had done everything to reduce the delay: less than two hours turnaround time in CPH; taxiing the flight crew from IAD to PHL, any alternatives (rebooking to other airlines) would have meant a later arrival to IAD for the delayed passengers than the 3 h 45 min experienced.
The extraordinary circumstances were weather closing IAD (for a short time), and - with the designated alternate - BWI - also closed meant that SAS only had fuel for 15 minutes holding at IAD before having to head to the second alternate (PHL). After a attempt to approach IAD after 12 minutes had to be abandoned, the captain (an experienced pilot, but with only 6 months on the A340) decided to go to PHL. As SAS does not have a handling agreement there (unlike at BWI), they suffered a long delay there before unloading passengers/luggage/cargo. As the return crew timed out in flight due to the taxi cab shuttle to PHL, they also had to stop at OSL to change flight crews.
It is not a blank check for any situation, but considering there are rulings that a lightning strike is not an extraordinary circumstance for subsequent departures from an airlines hub (can't remember the airline or jurisdiction right now), it is a pretty wide reaching verdict.
I do believe the EU261 has its merits, and has been necessary. But also think at times that the vagueness and very broad interpretation has not been reasonable.