Grain of salt here, but this is my understanding:

1. You already paid taxes on the income that went into your Roth, so the principal doesn't get income taxed. I also don't think it is subject to an early withdrawal penalty no matter when you withdrawal. But if you withdraw the growth without meeting the qualified distributions requirements, you will pay the 10 percent penalty on the full sum of growth and then income taxes on the remainder. That being said, if you withdrawal in Denmark and have to pay capital gains tax, you will pay 42 percent. Which of the two is preferable depends on the sum of growth you have. You will want to research exaxtly how you will be taxed on that growth in Denmark and then do that math to figure out which leaves you the most money.

2. I don't know about any special programs in Denmark specifically. I would definitely research to see what will be available to you when you move there. But from a US perspective, with that big of a lump sum, I don't think you are going to see a significant tax advantage in investing it into a traditional retirement account. You will meet your annual maximum contribution and still have plenty left to worry about. You can still hit that max and worry about the rest after, but other than investing in property like you said, or starting up a business, the best way to earn growth on that big a sum would just be opening a brokerage account and investing in mutuals or CDs (depending on your desires for growth and risk).

3. Honesty, it is news to me as well. I can see why that might be the case though since Roth pays taxes upfront while 401k and traditional ira pay on the withdrawal. They don't get anything from a Roth if you already paid taxes to the US for it. But taking an initial look at it, it doesn't look as simple as just paying tax on the growth. I would speak to a tax professional that deals with immigration financials before you make any big moves.