Europe in general have a problem with entrepreneurship. Stockholm, Berlin, London are the exceptions and even they don't really do that well compared to SV.
Zendesk is also Danish originally, Tradeshift is, Podio.. they all end up leaving because the market opportunity in Denmark is very small (6mio) and there isn't easy enough access to talent when you need to scale up
The biggest mistake many entrepreneurs do in Denmark is that they start with Denmark as a test market and so it's very hard for them to actually scale both mentally and practically.
The primary issue in my mind isn't really income taxes (although they do play a role). Denmark have a progressive tax system which means the top bracket pays around 52% or something like that (and cars have 180% taxes on top of the value of the car).
Denmark also have one of the most beneficial holdning company tax rules in Europe which allows for a lot of possibilities for startups.
And keep in mind that it's very easy to be unemployed and build a startup in Denmark. Healthcare is free, education is free, childcare is heavily subsidized, you get social benefits.
What really hinders Denmark is a combination of a small market, small ambitions and the lack of a proper ecosystem with alumni (they leave) and not to forget the in my mind crippling effect of the harmonization of the EU (not the common market which is great) and last but not least. There is very little tradition of scaling a company big (Denmark haven't created a +1000 person company for the last 50 years or something like that)