I mean, to be fair, Denmark nearly did order Iceland evacuated during the Mist Hardships after the eruption of Laki.
We tend not to get "geologically-catastrophic" eruptions here like, say, Yellowstone. But we get "historically-catastrophic" eruptions surprisingly often, once every 100-200 years or so. For example, the largest lava flow on Earth in the entire Holocene is in Iceland, the jórsárhraun, from Bárðarbunga.
Take Laki for example. A 25 kilometer long fissure "unzipped". Lava fountains peaked at 800-1400m high. The eruption lasted for 9 months. The worst problem was the gas. To give some perspective: Pinatubo was the gassiest eruption of the 20th century, emitting a very high ~20 MT of sulfur dioxide (Mount Saint Helens by contrast was only ~1,5MT). Well, Laki emitted *120 MT* of sulfur dioxide. And 8-15MT of hydrogen fluoride, which is vastly worse. Normally polar volcanoes have little impact on global climate (volcanic climate impacts tend to be strongest poleward of the volcano), but Laki was so intense that the Mississippi River froze at New Orleans and there was ice in the Gulf of Mexico. It disrupted rain cycles around the world and caused famines that killed millions (Egypt suffered particularly badly). Tens of thousands of deaths were reported directly from the gas in the UK (one presumes the sick and elderly who are vulnerable to air pollution). Weak harvests and the poor government response to it aggravated tensions in France, and probably contributed to the French Revolution five years later.
Regarding the latter... it's funny how things can come full circle. Because the French Revolution ultimately led to Napoleon, and thus the Napoleonic Wars, which led to Denmark losing Norway to Sweden, which led to Denmark clamping down on its remaining colonies (including Iceland), which created the local anger in Iceland that led to the Icelandic independence movement that ultimately led to Iceland's freedom.
But Laki is hardly the only one. Another good example is Hekla. If you look at old maps of Iceland, they commonly draw Hekla hugely prominently, erupting, using the scariest drawing style they can. Hekla became quite famous in the Middle Ages in Europe as being the entrance to Hell. It was written as being the prison of Judas, people claimed to see souls flying into it during an eruption, etc. It seems to have gotten its fame during the 1104 eruption, which dusted Europe with ash.
But there's so many more.