I wouldn't call Krogstad rough at all—it's a beautifully made spirit.
Brennevin has much less anise, yes, and a bit of ethanol on the nose at room temperature. I would say it's less intense than Krogstad. That said, it mixes beautifully.
if you can get your hands on some of Brennivin's yearly sherry cask-aged release, that's a wonderful spirit, with the dry caraway counteracting the raisin and oak notes.