Unit count is king in AoE 3 in my experience, so it doesn't really matter that the Russian units are all arbitrarily worse when they can make more, faster. I think to rival their zergness you'd have to do a very specific mexico build with barbarcoa haciendas supplying an endless amount of buffed insurgentes but you're like 4 ages deep by the time that becomes viable. But I'm really bad at the game, so I can't really comment.

I think it's cool that they're still working on it. Especially given that it is definitely less of a cash cow than AoE 2 is. And honestly if I were to model Denmark in this huge period AoE 3 represents, I probably too would do something similar, maybe.

But I would probably make "Denmark-Norway" the main faction, keep the toll mechanic (Because it's fun), so they're a totally normal European faction with one unique mechanic (The toll) and give them some shipments that acknowledge the imperialist dominion over Norway and Greenland (Or any acknowledgement of the role of Denmark in the slave trade and colonial exploitation would also be nice). Then let them revolt into either the uwu smol bean guerilla force with snaphaner, friskytter, watch houses, replacing all their navy (Including fishing boats) with gunboats, just called Denmark, or Livonia.
Just so Denmark isn't uniquely not-imperialist.