I don't think we agree on what corruption is. I hear this a lot from Danes in the context of "The farmers and bankers have whole political parties in their pockets" and "all our MPs are career politicians" and "you can't get a nice job unless you know someone".
While these statements aren't fully true, they're definitely real issues. But I would suggest these are not corruption. You could consider them problematic, sure, but corruption is about using your public authority to steal and misappropriate resources to enrich yourself. Stuff like bribes, embezzlement, etc. Which happens far less in Denmark than most other places I'd say.
The main exception is the royal house, which is super duper corrupt.