There has to be something weird going on. Bags are rerouted onto AF/KL all the time without issue. Routing via CDG/AMS is a regular occurrence for DL due to relationship with AF/KL.

When you oull up bag tag in DL app does it show Bag Expediated? Or does it just show bag rerouted? It should say bag Expediated.

I would simply tell DL to update file to have bag sent home at this point. (Sounds like even if made it to ARN, it would be too late)

If flying via CDG on way back, you could even ask at AF lounge or help desk for assistance. AF handles DL at CDG.