utf8_general_ci is a lot faster than utf8_unicode_ci and it's good enough for whenever you don't need to sort international strings.
The ICU project - http://site.icu-project.org/ - has open source implementations of the collation algorithm including appropriate information for different locales. ie you shows those Danish names to a Danish user in their expected sort order, while also showing them to an American in their expected sort order.
i18n and l10n is hard. But it is also largely solved fairly well, and there is no excuse to avoid it all together or not use the ICU code.
It's also worth mentioning that by design, UTF-8 doesn't use any more space for storage than ASCII. There are exceptions when databases need to pre-allocate storage, but in general, you should just be using UTF-8 everywhere.