The fact that you put quotes around the word "happiness" tells me that you acknowledge the biases of that survey. But that is neither here or there.
I know next to nothing about Denmark but I do have theories about homogenous countries:i.e. people with the same ethnic backgrounds and shared culture. And I think that Denmark fits into that category. In a heterogenous society, there are competing "isms" ,philosophies, and cultures, often at war with other, sometimes silent, sometimes a little more violent. That ain't Denmark, there is basically one religion and a shared culture with no other culture competing for attention.
My theory of someone being born into such a culture is that the social coercion begins from the day of birth and that child grows up without having that social coercion being challenged ,from the outside anyway.
It would be the equivalent of an Amish nation. An amish child would never see anything else contrasting that lifestyle when he visits the market, in contrast when an amish child goes to market in Pennsylvania. That rite of ending adolescence when an Amish child goes into the outside world(in my fictitious Amish nation) to have a taste of it before deciding or not deciding to come back to the Amish world would be a failed experiment as he would encounter that which he left behind.
The above post is from someone who has never been to Denmark and for all I know, I may be totally off the mark here.