Coverage is not the same across the region. Pick your destination for network detail and plan recommendations.
Buy one regional plan rather than stacking country plans. A single Scandinavia or Europe plan covers all five countries, works across borders without reconfiguration, and almost always costs less than two separate country plans.
The two exceptions worth knowing: Greenland and the Faroe Islands are almost never included in Denmark or Europe plans, and Svalbard is excluded from Norwegian coverage on most plans. Check the country list, not the region name.