Well, S, N and D are technically the only Scandinavian countries, and myself I don't feel any type of connection to Icelandic or Finnish. Icelandic has some understandable words though, but they're too different to be Scandinavian in my opinion. Finland and Sweden might share a deeper connection as Finland has a Swedish part and I'm not 100% sure but Sweden has probably tried to make Finland a part of their country back in the day
But yeah I think we all have love-hate relationships, kinda like siblings I guess? We have these jokes about the Norwegian, Swede and Dane which have alternate endings in each country. In Norway the Swede is the dumbest, the Dane is alright and the Norwegian is the smartest, whereas we're the dumbest in Denmark and Danes are dumbest in Sweden I believe. It kinda shows that we have an inner competition, but still support each other and feel unity obviously.