In short, because neither is a really major city, and they're on opposite sides of an ocean.

But SAS to Madrid connecting to Air Europa to SDQ appears to be quick, cheap and only a moderate layover in MAD (two and a half hours each way).

And it looks to me like the Air France connection at CDG is short -- 1 hour 45 minutes out, 1 hour 5 back. The only hassle is that the transatlantic (AF493) does CDG-PUJ-SDQ-CDG.

So I'm not quite sure what you're complaining about -- for the size of CPH and SDQ, the connections between them are really not bad.