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Also make sure to use a payment method with origin of the region you wish to change to, in that case, the credit card, paypal or whichever you wish to use MUST be from denmark.
That will then allow you to change country in steam
Just saying you are in a country doesnt count
Try adding some money with it all set up above and see what it does and as already mentioned theres a waiting time
Whether it makes you buy the whole game again or not as a different version so you have 2 versions
This post seems to indicate a restricted game will not work if you move to another country
https://steamcommunity.com/discussions/forum/1/541907675763175087/
When you go to Denmark, have a physical billing address in Denmark, you can change your region properly and purchase the ROW version.
Question answered