This is based in rural Denmark. "Rural" in Central Europe and rural in Wyoming are so dramatically different, that I can imagine this suggested paradox being extremely regional.

Anecdotally speaking, I have encountered a level of paranoia in the high plains (such as Wyoming) and rural Appalachia that I've never encountered in Central Europe. I've also lived in Iowa and found it to be the friendliest place on Earth... so I think it varies a lot.

Why is this considered a paradox? There is no contradiction, and it seems quite natural that people living in rural areas would be happier. In the timescale of evolution cities are very new and we did not evolve to live in urban environments.