This surprised me, since I'm from the UK where they're kept at room temperature on a supermarket shelf.
Presumably this is because eggs stay fresher longer in a cool environment and keeping them in the fridge is the easiest way to do this if you don't have some other cool storage space?
Some supermarkets may decide to refrigerate the eggs, even if it is unnecessary. The shell of a cold egg will get wet when it warms up (condensation), and bacteria on the shell will thrive. This could lead to dangerous levels of contamination on the shell, and some of it might make it's way in your body.
But I thought Denmark had more of an issue with egg salmonella than Sweden and Norway? I've seen Danish cooking shows where they take care to use pasteurised eggs/yolks whenever they're not cooked in a recipe (like for mayonnaise), but never in Norway or Sweden.
In most European countries, salmonella is controlled in place of production, and egg production at least in the Nordics is salmonella free. There are strict controls and regulations in place to keep it that way. In this environment, the risks associated with egg washing outweigh the advantages.