According to this - https://tbst.dk/en/Civil-aviation/Pa...ellation-delay - the Danes don't handle these complaints. I would guess it may be the British consumer authority which handles it given the final destination is Heathrow. I'm not 100% sure if UK is still included saying as it's not in EU any more, but I would get in contact with the Civil Aviation Authority - https://www.caa.co.uk/Passengers/Res...-compensation/

There is also the alternative dispute resolution body, of which SAS is a part. If you aren't satisfied with SAS answers, you can go through them - https://www.caa.co.uk/Passengers/Res...te-resolution/

Failing all that, on the SAS website there is a form where you can actually write something - https://www.care.flysas.com/SelfService/ClaimSAS/

It also outlines the alternative dispute procedure etc. Hope this is useful.