Lapland is not a part of Denmark, but a region including northern parts of Sweden, Finland, Norway, and Russia. The Norwegian part of Lapland is sometimes known as "Danish Lapland" which might have confused the filmmakers. A find such as the one in the movie would stay within the country where it was found.
The goof item below may give away important plot points.
Just after Grayson kills the monster with the bazooka shell, as he and the others start to walk away in the square where the monster had supposedly been rampaging and under fire only moments before, a bicyclist can be seen idly rolling past in the background.