It makes sense for Denmark to have two, as each of them is connected to different larger markets and have limited interconnection between each other.
Western half of Denmark is on the european/continental synchronous grid and the eastern half of Denmark is on the nordic synchronous grid.
It would also make sense for Germany but they don’t want two zones. That also causes issues for connected countries.
Sweden doesn't want more than one zone either, but was forced into it.
It also makes sense for Germany to have at least two, since North and South are very different in terms of production and consumption but have limited interconnect. Any fix for that is endlessly blocked by NIMBYs who don't feel the cost of their decisions.
Luxemburg also is in the same zone as Germany and Austria used to be too.