If Denmark had managed to keep everything quiet on the home front, negating any growing Swedish discontent, then they would have a fair bit of energy that would likely be routed into exploration and colonization.
Most likely way to negate the Swedish discontent would be via stopping their fighting with the North Germanic duchies accepting status quo in north Germany instead of chasing precieved or actual claims with middling luck, as the Swedish nobility was very merchantile and had tons of tons of copper and iron that they wanted to trade away, with their trade routes primarily going via North Germany. Furthermore it might be a big help if Denmark managed to come into an long term argeement with Hansa about who's allowed trading where and what it would cost Hansa to sail their stuff through the Danish Straits, instead of insistent bickering with Denmark trying to tariff the hell out of it, and Hansa trying to force the tariff into being nonexistent.
Basicly, the primary issue for Danish led Scandinavian Colonization of North America is that there is to many things close to home that demands their focus and energy.