IOTL most Danish state institutions remained functioning under the Nazi occupation, with the government still intact and the King still in the country. But would that situation be maintained if the Nazis won the war? Would they just keep things as they are and turn Denmark into a protectorate or would they change they eventually decide to integrate Denmark like they intended to do with the Netherlands?
And the same question also applies to Norway - considering they're Nordic, would Nazi Germany eventually annex Norway or just upgrade the Quisling regime to the status of protectorate/puppet?