Ahhh!
Might have a lot to do with population density, all observations about the proclivity of other races to adapt to new environments aside. I think, the last time I read up on it, the human brain is meant to connect to about a maximum of 500 people. Once you start to get over that, you begin to care less and less about the people around you as your brain struggles to integrate them as "Part of my personal community". They just become numbers.

In places like Iceland, where people aren't so tightly packed into cities, there's likely more a feeling of closeness and community. The people around you are "Your people" and your friends. You trust them to do the right thing and they feel obligated to do the right thing by you as well, because you aren't just Strange Number 583,819 - You're Joe, and you know Joe and everyone else knows Joe and they know you. The kind of place you could leave your door open and car running in the street without worrying. You'd trust the person next door to look after your kid for an hour while you went to the dentist. That sort of thing.

Strong immigration controls are important as well, obviously, but I'd be surprised if that didn't play a role.