the site I linked to is the consumer rights ombudsmand, so you can complain to them, and the consumer rights ombudsmand can also undertake independent investigations if she wants (although unsure about how that works)

on edit: consumer rights of course covers more than this but going through the site can find cases where companies have been fined etc. for violations of rights - for example https://www.forbrugerombudsmanden.dk/nyheder/forbrugerombuds...

in this case company reported to police for illegal telephone sales.