Got this reply from Amazon's customer service: update from our Fulfilment team regarding "National Lampoon Vacation Boxset [Blu-ray] [Region Free].": ''Bin check made and subtitles available on this item are English,French and Spanish. No Danish subtitles are available."
So unfortunately, this release does not come with Danish subs. I agree that this UK release is superior to the Scandinavian boxset, due to the inclusion of "Christmas Vacation" which makes the set complete.