E.U. lawmakers (including those in the individual nation states like Denmark) and judges generally can get quite nasty if they want to. Just look at Apple (a U.S. company and the richest one at that) getting systematically bent of a barrel by the E.U. commission.

Hosting your stuff outside the E.U. does not really protect you from this. More likely than not, your content relies on other companies (host, ISP, etc.) to be delivered to your audience and those companies either do have a presence in the E.U. or want to retain a working relationship with E.U. authorities. It's simply a question of how much energy E.U. authorities would be willing to invest in enforcement.