Hmmm, I suppose it is a hiccup between the two booking systems and SK's webfront for the pax. Very little you can do besides what you did by calling both SK and Virgin. How many e-ticket numbers you get depends on how they (the OTA) build the itinerary. 1 e-ticket for the outbound and 2 for the inbound sounds strange but might be ok.
Anyhow, try to check in ARN-MAN on Saturday online. If that doesn't work get on the phone with SK and be at ARN in good time to have a chance fixing things at the desk. Art the day of departure SK should be in control of the ticket from ARN to MAN at least and should be able to fix it.