You Can't Have Denmark Without Danes

Utah and Denmark might be more alike than he thinks when it comes to religion: Scandinavia used to be firmly protestant and Denmark, Sweden and Norway all used to have a state church. Denmark still has it, while Sweden and Norway did away with it very recently (2011 for Norway). Religious adherence might well be lower today - I don't know - but but a lot of the views remains.

But more importantly, I think, a lot of what he points out as evidence of high trust in Denmark is evidence of the high cost of labour and overall high incomes:

It makes a lot less sense to e.g. put in effort ensuring people pay if those people have fewer economic reasons to risk taking something without paying, and when having people to check that they don't costs far more.

That's not to say that trust isn't present and real, but it's a whole lot easier to trust when the perceived risk of that trust being violated is lower, and when people are used to being trusted, you tend to try to live up to it, so these things self-reinforce.

In other words, personally I think anyone that wants to become more like Scandinavia might want to start by trying to reducing income disparity first.