That's because they made deals with content providers to sell you ebooks and audiobooks outside the US, and presumably they don't have those deals for Kindle Unlimited yet. Just because Amazon has the publisher's permission to sell you an ebook doesn't mean that they automatically have the publisher's permission to give that ebook to Kindle Unlimited subscribers.

Sure, because those books have rights to be sold in your geo. OR, your account is based in the US (billing address).

My billing address is Danish so that is not it.

I have not yet been declined the opportunity to buy a ebook so it's strange that the rules for renting is different.

I think the OP's point is some subset of the Kindle ebooks are already available in his locale, so why not roll-out this service for those titles?

Probably because the license they have to sell those titles doesn't allow them to rent them on this service.