SAS is correct. CUN-PHX is not a sector "within/between USA/Canada." Therefore, the standard RTW rule applies:

"On sectors where First/Business Class is not offered/available at the time of booking passengers will be accommodated in the next lower class."

The question of whether CUN-PHX is "international" unfortunately has no particular relevance in this context. The only question is whether CUN-PHX is within or between the US and Canada, and it is not.