pug - the Amsterdam route is flown 20x per week including 5 round trips at the weekend. Copenhagen will fly 5x per week with nothing at the weekend suggesting SAS has no intention of catering to leisure passengers.
Amsterdam is much better placed physically for passengers connecting from Humberside to Europe. A flight from Humberside into Copenhagen arriving at 2150 rules out a connecting flight from Copenhagen before about 2230 - which leaves very few viable onward connections without an overnight hotel stay.
Furthermore people travelling to Amsterdam can look at Leeds or East Midlands for competitor airlines - for Copenhagen competition is much weaker meaning higher fares can be charged.
As others have said, this route is targetted at people flying on business between Humberside and the Nordic countries. Leisure passengers or those travelling outside the Nordic countries need not apply. This is a niche route for niche passengers. There may not be oil money like Aberdeen but SAS will be charging a full price for this route.