There's really two different issues here - that of pre-selecting seats, and that of how check-in works with multi-airline itineraries.
As far as pre-selecting seats, every airline has different policies. Specifically for SAS, they allow you to pre-select seats only if you has elite status with their frequent flyer program (Eurobonus Gold), or on flights to/from the US regardless of status. Some other airlines will allow it at time of booking, some only allow it if you pay an extra fee, etc. The specific airlines website should give you the details there.
The second issue is checking in with a single connecting itinerary with multiple airlines. Again the exact rules will vary here depending on the airlines involved, but in general you need to check-in with the airline that is flying the first leg of your journey - in this case, SAS. Depending on the agreements between the airlines they may be able to also check you in for any additional flights with other airlines, or they may not be able to - in which case you would normally do so once you arrive at the transfer airport.
In these cases seat selection again depends on the specific carriers. eg, if you were flying Emirates followed by SAS then within 22 hours of the flight you would be able to go to the SAS website, select "check-in", and whilst it will not actually allow you to checkin (as the first leg is with EK) it WILL allow you to select seats!
In short, there is no simple or single answer to what you're asking. Most airlines will publicize their rules for pre-selecting seats on their website - but be sure to read the full conditions to make sure that they apply to you, without needing status or paying any additional fees.
Specifically for Cathay Pacific, they DO allow you to select seats in advance, regardless of status. If the website/travel agent you are booking on/with doesn't give you the option, you can go to their website, enter your surname and booking number, and select your seats free of charge. British Airways on the other hand only allows you to select seats at the time of check-in (up to 24 hours before your flight).