From my research thus far (transiting there in a couple of months), yes there is Fast Track security, although it might not necessarily be faster so check the lines. The CPH Airport app shows waiting times but I have no idea how accurate they are.
https://www.cph.dk/en/cph-business/a...ns/cph-express
You go through Security Control first and into the terminal building, which seems to be one large building split into different terminals that are interconnected.
There is a lot of talk about "fingers" and international flights go from Finger C/Pier C (Gates 15-40). When you go to the Finger C/Pier C for your flight, you'll go through Passport Control, so allow time for that.
There are lounges. Check the *A website.
I found this map to be helpful. It also shows approx. walking times between different areas.
