If you are hell bent on coming back(or your wife more likely) your best bet is to get a job in CPH paid in DKK and settle in the South part of Sweden. At least that way you will benefit from some significant exchange rate mark up. But only come home for quality of life, money is not here and never will.
Not if you've got kids, Danish social security is weaker than Swedish on that part.
It all depends on where you're in life and what you're after. I tend to reason that if you want to extract max value for the money in the Nordics you should spend your life here, use the educational system and the healthcare. I left a well paid aviation job to start at the bottom of the senioity list and boy did it hurt the first few years with commuting and all.
If you're in it purely for the money, yes earnings in DKK and cost of living in SEK or NOK is the best.... for now. But expect to start at the bottom of the seniority list regardless of previous experience, there is no way around it. The salary they sell you when you start is a career package. It starts low and increases every year as you move up the 25 odd steps on the salary ladder. Adjustments for inflations come on top of that.
SAS has had three industrial actions since 2017, yes, the unions are strong. Mostly for damage control.
You've looked at TUI and SAS only, have you considered Norwegian? SAS will likely recruit for years to come, not sure about the others.