That's the actual intended policy, though, not some undesired side effect. The public policy has been that electricity should be highly taxed, both to encourage conservation and to raise funds for making it cleaner.
It's also, like many things in Denmark, tied in with national industrial policy. Greentech in general, and wind turbines in particular, are seen as an important export sector. So Denmark has an interest in "modeling" the benefits of this technology at home, with the expectation that between Vestas, smart-grid technology, etc., the whole endeavor of associating Denmark with wind energy will not only be "green", but also net-profitable for the country.