As I said earlier, it's a hangover from the old days when SAS check-in and security was in the old part of the terminal and used the A pier exclusively. Security was brought you to the start of the A pier and there is a sign there to go 25 m to your left and up the spiral stairs to the lounge.

The place where they should put a lounge sign is probably after the new security; I haven't looked for one and guess there isn't one.