I think it depends a lot from where one is moving from. I'd say moving from the Bay Area is actually a quality of life downgrade given the weather and tech salaries in general. The great thing about the US is opportunities. In Denmark, you'd be hard pressed to find your next move unless you live close to Copenhagen/Aarhus etc.
I say this as someone who moved from India and was in a fairly high paid job in India - I find the cost of various things about 3 times the cost of the same thing in India and guess how much has my salary increased ? Exactly 3 times. Yes, the quality of life has changed, but I don't really save anymore than I used to back in India. And with the way the taxes are structured, it can be a stretch to live as a single income family. It's no surprise that Denmark has among the highest percentages of dual income households - it is simply difficult to live on a single income.
Would I change anything ? Maybe, maybe not. It's a great country to raise kids, the quality of life is amazing, workplace stress in most workplaces is non existent, one has great autonomy and the society is built on trust - It's amazing how that can change your life - the US should try it :) But, if you're a high flying career oriented individual, Denmark isn't for you since the qualities needed for that kind of career, are actively frowned upon in Denmark compared to the US or even Germany.