If you are so sure about that why wouldn’t they make it a domestic law instead of an EU wide law? I’m not American nor Danish and I certainly do not trust my government. Kind of naive - no one should trust their government in this day and age.
It’s also convenient that Denmark is essentially the US’ eyes and ears in Europe, who even spied on other nations for them.
Having a largely non corrupt government that enjoys the trust of the general population yields benefits on all levels of society. Its a big part of the reason these countries are the happiest and healthiest.