No I wouldn't be concerned and I fly KL/AF very regularly (mostly KL) with connections thru AMS every 6 weeks or so. Yes some of my connections have been missed for late incoming flights, caused by weather, tech issues etc but it is not frequent. If you do miss the onward flight, you will get rebooked onto the next available, therein lies a potential issue, the next available can be next day. My longest delay was last Christmas when the next available was 24hrs later due to the holidays, but that is unusual for the years I've been flying KLM. But as you are flying in from the US (I assume), flights often arrive earlier than the scheduled time. If there is a choice of connecting thru CDG or AMS to get to CPH, I would take AMS any day.

Air France is my top choice. The food is great, service attentive and economy seats are adequate, although by no means comfortable for that long, long flight over the water. We've always selected our seats & chosen by the window not so much to see anything but rather to have just two seats together without anyone right next to us.

Other things being similar/equal . . . I would always choose connecting through AMS over CDG. CDG is a pig.

I also would prefer connecting at AMS rather than CDG. Our connections through AMS have always been much easier.

I use both quite a lot, at least once a month so that's at least 4 segments a month.
I prefer Air France but it depends on aircraft, class, etc. If I am flying long-haul business, definitely Air France if it's a night flight, but will consider KLM for day flights or if it's significantly cheaper.

As for CDG vs AMS, in my experience CDG is more reliable. AMS has been a bit of a lottery this year. I've had four flights cancelled or delayed due to wind, fog and runway maintenance this year and twice my luggage got stuck in AMS. I've never had any problems with my bags transiting through CDG even though I often have short connections. I have a feeling AMS is operating at max. capacity.

2h15 is plenty of time for transferring at CDG even when travelling non-Schengen to Schengen.

I'm another one who would prefer connecting at AMS rather than CDG. I have found the workers at CDG rude and not very helpful. French air Traffic Controllers seam to always be going on strike which affects cancellations and delays flights. My take as far as AF or KLM both seam to do a good job in the air. The KLM airport agents leave a lot to be desired with attitude. AMS is a better airport to get around although it seams to be getting more crowded each year.

Since we have great knowledgeable posters here let me ask a basic question--going from SFO to CDG arriving at Terminal 2E and then onward to AMS in 2F. Assuming I do the passport control etc. at AMS, correct? Have about an hour and 20 minutes between flights.

As to AF and KLM, I find both pleasant in business class with KLM a bit more "business-like" in attitude and service; I do love their little delft houses!

Flying Blue program (AF/KLM) works really well IME for getting mileage tix -- opens some up before United and some other carriers open their Saver tickets.

I often fly KLM or AF to Europe, although lately I"ve been going to United as I got fed up with the strikes and getting a premium economy seat is a whole lot easier and cheaper on United. I don't like KLM's planes in all ways. I don't pay much attention to service as I don't use much, never noticed any big differences there. But I do admit I think AMS is easier to deal with than CDG.

AS for the passport control, that would be new to me that you think you wouldn't go through that until your final destination. I transit in Europe a lot upon arrival and I have always had to go through passport control at the first airport I land in. Same as in the US, actually. I don't think I've ever flown anywhere to a foreign country where I didn't go through passport control at the first airport I landed at.

So I would vote no on that idea that you won't go through it at CDG, but haven't done that exact flight. I just don't understand how that would work if you didn't go through it until AMS.

Since both France and the Netherlands are in the Schengen area, you go through passport control/ immigration at the first airport, i.e Paris CDG.

Nevertheless, it's the norm (outside the US), that you can connect at international airports from one international to another international flight without going through passport control. If OP wanted to fly from San Francisco to Moscow or Cape Town via Paris, there would be no immigration in Paris.

>>Assuming I do the passport control etc. at AMS, correct?<<

No -- As Cowboy says, Immigration is at CDG and your baggage collection/customs will be at AMS.