There's no appreciable difference in how "easy" it is to fly from Copenhagen or Stockholm. Make your choice based on which airport it is most convenient to get yourself to at the end of your trip, and/or where you get the best ticket deal.
Norwegian flies direct from all three Scandinavian capitals to a number of US cities, but won't offer through ticketing for the domestic part of your trip.
SAS codeshares its transatlantic routes with United, which may or may not be a cheaper option if you combine with a domestic booking from Chicago or New York to Houston. United may also have offers via Frankfurt, codesharing with Lufthansa on the Copenhagen-Frankfurt leg.
Since you mention Icelandair, where you will change flights in Keflavik and not get all the way to Houston, there are several airlines that can get you from Copenhagen to Houston with one change of flight -- at least Lufthansa, KLM, Air France, BA, Air Canada, and United.
(Yes, BA too. The airport and passenger taxes are collected by the airline and included in their published fares, so there's no reason not to check if they have a deal that will beat the competition).
Impossible to tell -- it depends on when you travel, the day of week, phase of the moon, and the week-to-week whims of airline executives. You'll have to shop around both ways and see what comes out cheapest and within your comfort threshold.
Finally, do remember to check whether one of the airlines offer a return trip on the dates you need cheaper than a one-way ticket going back. This happens less often nowadays than it did in the past, but it still does happen from time to time. It would be silly to burn your Oneworld points for the outbound flight if you can get it for negative dollars when paying for it.
(Return fares will usually be available even when "out" is Houston-Oslo and "back" is Copenhagen-Houston, so-called "open-jaw" ticketing).