As has been already menioned, I think, in order to make the next step Denmark needs at least one of a strong core of players in top European leagues or a strong domestic league.
The chances of the latter seem nonexistent at the moment, and the former is not exactly currently happening either.
For the national team having all of its best players in the NHL is actually not really an advantage as Denmark has seen multiple times in the Olympics qualifications (they have been a bit luckier with the WC, but even there they can't count 100% of their best), where they struggle against teams of around their level, who might not produce as much NHL talent as Denmark, but who have plenty of their best players in Europe.