I'm being facetious, of course, but trying to point out a few reasons we can't be "... just like Denmark ..."   Most importantly, there's the scale of their society vs. our.  They have 5 million population (plus or minus); we have 320 million.  They have a postage-stamp size country that you can ride your bicycle across in a day; we occupy a continent.  They are culturally and linguistically near-homogeneous; we are a polyglot, multicultural society drawing people from every other nation on earth.  

As for some of your other points, Mr. Rogers, it may very well be that the Danes are happier than us, because they "... get their money's worth" from the bureaucratic class, in exchange for their taxes.  Lots of us here are pretty sure we don't ... :-/