As as expat who has been living in Denmark for the last 5 years, here is my take on it:
The Danish system is designed for people to be born, live, and die in the country. Yes, taxes are high, but salaries are good from the time you leave school. So you will easily be able to accumulate enough to live a middling life with your 1 holiday and a year, 1.7 kids, and picket fence. You will then retire and have a good state pension. There will be very little stress in your life, and you will be happy enough.
This might have been seen as boring a few years ago, but compared to the craziness in other countries, I think a lot of people would now love this security.
The system is also not aimed at migrants. If you arrive in the country in say your 30s with zero money, it will take you a long time to accumulate enough money to join the normal flow. Salaries increase very little year on year, so you won't be earning much more than a graduate. Cars are expensive (double the cost compared to Germany, an hour from me), and labour is also expensive (was once quoted 3 weeks salary for getting my garden tidied, and trees pruned). So you need to outlay a lot. You also better stay for life, otherwise you will lose your accumulated pension.
Also, regarding all those 'best country to live in' articles: that is according to Danes. It is voted one of the hardest to integrate into. You will always be an outsider. Not in any mean way, just because Danish social circles are formed through school/university, and change very little. So it is a very isolating life for expats.
But having said all that, the country does function well. Far better than most places in the world now.