This is a Schengen-Non-Schengen connection. There usually will be no extra airport security arriving from ARN, but you will have to go through passport control which might add some minutes (which is included in the MCT (minimum connection time)). The extra US security will be done at the gate. As this is within MCT there are no risks for not getting there if you are on one ticket. SAS is responsible to get you rerouthere, and they know that you are in the airport. If you miss your connection, you will be rerouted at no cost to you, either through CPH on a day when the late CPH-EWR is scheduled, or on another *A carrier. You might end up at JFK, though. Worst case, you'll be put up in a hotel, and sent the next date.
This only applies on through tickets. I would never risk this on two separate tickets.