To clarify, I went to the SAS transfer desk at LHR and gave them the bag claim and the agent told me it had been transferred to them.
But the SAS agent at the baggage counter at OSL (which I went to when the bag did not show up) told me the bag had only been checked to LHR.
Also, the UAagents explicitly said the baggage tracking on the app would update to show it being retagged.
Probably a moot point since I got a text message this morning claiming my bag is on its way to OSL right now.
Since I need to go back to the airport to connect with Hurtigruten's arrangements, I will call and see if I can just pick it up there. Though it's not clear how one gets to the baggage claim area if you're not coming off a flight.