Honestly, that's going to be an intense itinerary. You have 10 nights; that's only 9 full, mostly-not-jetlagged days. You'll need to fly from Amsterdam to Copenhagen, which will probably cost you over 5 hours door to door. For me, dealing with airports is a major issue in the middle of a vacation. You'll barely have gotten to Europe before you're headed back out to Schipol.
Train time between Copenhagen and Stockholm exceeds 5 hours, to which you have to add the time spent traveling between hotels and train stations. In all cases there's also the bit about checking out of the old hotel and into the new one.
Now your 9 days have turned into 8, during which you have to get oriented to 3 different cities. These are not small places, nor are they short on sights. There's a risk you'll be running around like crazy people. It would be easier if you didn't care about art, but you said visiting art museums is a must.
My recommendation is that you postpone Copenhagen until a later trip. I gather you already have airline tickets into Amsterdam and out of Stockholm, that's why I'm suggesting Copenhagen is the one to omit. Unfortunately, you'll still be stuck with a mid-trip flight.
Divvying your time up between just two cities will give you some breathing room. You should then be able to see the Kroller-Muller Museum in Otterlo with its large collection of Van Goghs, and perhaps the Mauritshuis in Den Haag, as well as the major museums and other sights in Amsterdam.
I've recently made a return visit to Stockholm and have at hand my list of sightseeing targets. These are the art museums on my list:
- National Museum (the largest; also good decorative art)
- Millesgarden (outside the center; takes time to get there)
- Moderna Museet (special exhibitions usually contemporary)
- Magazine III (contemporary art, outside the center; I missed this one)
- Sven-Harrys Konstmuseum
- Hallwylska Museet (also decorative art)
- Liljevalchs (also decorative art; on Djurgarden)
- Waldemarsudde (also decorative art; on Djurgarden)
- Thielska Galleriet (on Djurgarden)
- Artipelag (contemporary art, way outside the center and expensive; check website to be sure it's of interest. I mainly enjoyed the outdoor sculpture park. It's a major time commitment to get there.)
- Fotografiska (large venue showing special, crowd-pleasing exhibitions of photography, on Sodermalm)
Not that you'd want to go to all those places, but those are just the art museums. Stockholm has a lot more.
If sticking with all 3 cities is a must, I cannot improve on the way you've distributed your time.
As for hotels, you'll get the best advice by telling us your nightly hotel budget and the key sights you want to see. With so little time, I think you need to choose very conveniently located hotels, but "convenient" depends on your sightseeing targets.