Hello,
Apologies for the late response here and thank you again for the feedback. We will take this feedback with us at Klarna to see if something can be implemented in the future as today (as previously stated), as Klarna does not share data with integrations to know when to set the Woo pending payment to failed. If such data would be returned by Klarna in the future we will of course update our Woo plugin in line with this.
If we were to introduce a setting that changes the status to failed after a set number of hours as suggested this would conflict with the existing solution detailed here used by thousands of merchants and in line with WooCommerce standards.