Looking at some fast consumption stats (current, and I'm lazy here but I'll assume this probably link to historic consumer trends) Denmark is top 8 in milk consumption per capita but don't even show up in the top 40 for pork consumption.
My guess for why they don't use lard: They never really did. If you have a dairy/beef based food culture and minimal pork you probably aren't going to use pork lard because it's just not around.
It wasn't "killed" in Denmark (anecdotal old Danes, please feel free to prove me wrong here) because it was never the de facto fat for these applications.
Edited to add: "Approx. 90 percent of the production is exported and is thereby essential to the Danish economy and the balance of trade." They currently produce a decent volume of pork and then ship it out of country.