I have done HEL-ARN-ORD a few times with a 45 minute connection in ARN. I have never had any problem making the connection. You should be ok, unless the FRA-ARN plane is delayed a lot - and in that case SAS will be responsible for the missed connection. There is quite a bit of walking to the new F gates however, so don't plan on visiting a lounge.

Last time my flight from HEL was 15 minutes early and the ARN-ORD was 20 minutes late, so instead of a 45 minute connection, I actually had a 80 minute connection.