The Nordic countries have always been into social control but Denmark adds a side of paranoid ethnonationalism into the mix which leads to some very strange values.
The current world is so crazy that I would easily bet that it is strange that a small country like Denmark is so obsessed about running all European privacy, and there might be hidden corrupt interest behind that.
I would but be surprised that US is pressured some people there.
Nordic cultures are actually substantially different.
Swedish, Norwegian, Danish, Icelandic and Finnish culture is vastly different. If we include the Dutch or the Estonians the differences become even bigger.
As a Swede I'm not afraid of my neighbours seeing into my apartment, because I have order there and I don't see any harm in them seeing into it, and you can of course interpret this as some kind of 'if you have nothing to hide you have nothing to fear', but it's more that I don't see a need for physical privacy. Letters are completely different matter and in others I am intensely secretive, but you can't learn anything I want to keep from you from looking at my houseplants.
If I had disorder in my kitchen and people could see into it I would be very unhappy.