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You could also consider moving them up north closer to Oslo so you will have some time to somehow deal with helis first .. maybe add small boats with better AA capabilities to this group?
The issue is that enemy battle group is screened pretty well by helis and by the time those boats move closer they will be destroyed. Fjords are excellent to hide but only if you have mountains and could hide behind them to avoid incomming missiles after being detected. I have tried to do that in this scenario and it helped with missiles coming from the WEST but not against those from the SOUTH. This is a pretty good strategy as enemy ships are wasting ammo and in that case you want to be detected but only if terrain allowes it ;)
5. Add two P-3s, one ASW, one Anti-Surface
Speaking of, the SAG does not lack for ASW helos but there's no time for them to deploy a sensor net, and even if the NATO submarine (just the one is fine) detects the sub, it may not be possible to prosecute. So add another P-3 with an ASW loadout, and considering the amount of NATO AShM may not be enough (needing also to rely on Exocets and Penguins), adding a 2nd (or even a third) P-3 with the Anti Ship loadout would be useful.
These are large and complex scenarios and since the AI isn't up to the task, the only way to add challenge is to add more: more ships, planes, missiles. So all NATO needs here is just a little bit more (but not too much more, NATO being on the backfoot in these initial clashes makes sense).
3. Add FABs
As noted by @Heet, the Norwegian and Dane FAB doctrine was designed for just this type of scenario. Hide two groups of 2 FABs along the invasion route. FABs are also fun to spring ambushes with.
4. Increase distances
I agree that NATO would not necessarily have a CBG to hand in European waters on a moment's notice, and that even if they did, they might not feel risking a carrier in the narrow waters of the Kattegat. So, nothing wrong with a SAG. Nevertheless I'd say set the start position to just outside Soviet AShW range to give the player a moment to breathe - but it's still a race to Oslo. If the NATO SAG stops, slows, or turns around to keep out of range, it will fail to prevent a landing. Giving the player some breathing room also grants a chance to spot the Soviet sub (which you certainly should retain).
1. Merge Task Forces
The AI tends not to target incoming missiles unless its directed at the individual unit or the formation it's in; as a result the two TFs are not mutually supporting. Merge them: if NATO knows its going to be facing AShM spam, being tipped off in your scenario by Danish naval intelligence and German radar, then surely they'd enter the Kattegat with a single TF. Adding (or replacing another ship with) a third RN AA hull would certainly be nice (they're balanced by virtue of their Exocets).
2. More AA fighters
In one run, my ships spent all of their long-range SAMs on AShM from the ships, as such they could not deal with the following waves from bombers. I'd say retain the older F-4s with a SEAD loadout (lacking a Prowler, these are useful) but add another flight of F-15s (or F-4s) with an AA loadout.