Note that while the Schuko plug is unsafe in Denmark, it is the standard and also carries a D-mark (Demko)...
Maybe, just maybe, this has something to do with LK's monopoly on sockets and light switches on the Danish market. :-) The boxes are different too, in another move to keep foreign suppliers out. If Denmark changes to French style, the customers may go all the way and change boxes, killing the market for LK in the process...
This question was actually up with one of the ministers a couple of years ago. In his response he agrees it is a strange situation and that in a modern installation with and RCD it is no disaster no having the grounding. Consequently, from 1. July 2008 the French outlets will be permitted and all buildings will be required to have RCD's.
Response from minister (in Danish)