I don't know about Denmark in particular, but in other EU countries they stipulate you have to spend the majority of time/data in the "home" country or the expensive roaming fees apply.

Not idea whether they actually check/apply this though.

There is a limitation for that.

"A surcharge may be applied if: * you use roaming services more than domestic services and spend more time travelling than in Finland"

https://www.traficom.fi/en/communications/broadband-and-tele...

Not sure. Some limitations were removed when EU rules for roaming charges were put in place. To be fair, my “IOT” plan is Denmark-only.