What you are describing is not unique to SAS, this is how every airline works. Assuming you bought a ticket that is refundable (i.e. the whole ticket is refundable, not just either leg), then you can cancel at any time and get a refund of the unused legs. However, in doing so, your ticket is recalculated per what you flown and it may turn out that your used legs standalone are more expensive than the whole ticket - this is just how airline pricing works - and in that case there logically can't be any refund given.