If you’re counting Belgium–Saxe-Coburg & Gotha, as I think you should, these would be my changes to some of your examples.
Denmark: Prince Knud (uncle of Queen Margrethe II) married in 1933 Caroline-Mathilde, a born princess of Denmark. However, a case can be made that a later example of a marriage between agnates in the house of Glücksburg would be the 1964 union of King Constantine II of the Hellenes, Prince of Denmark, and Princess Anne-Marie. The latter became not only a queen of Greece but also, a twice-princess of Denmark
Anne-Marie of Denmark marrying Constantine II of Greece counts.
Sweden: none to the best of my knowledge in the house of Bernadotte. Can anybody name an example? How about earlier dynasties (e.g. the house of Vasa)?
Charles XIII of Sweden and Hedwig Elizabeth Charlotte of Holstein-Gottorp.
Spain: the 1846 marriage of Queen Isabel II and Francisco de Asís María Fernando de Borbón, who became king-consort. Was there a later example of a union between two Spanish Bourbons? How about earlier history, involving the Spanish Habsburgs?
Infante Carlos of Spain, Duke of Calabria, Prince of the Two Sicilies and Anne of Orléans. There are other Two Sicilian princes and princesses who I think were made Spanish infantes who were married back into the Spanish Royal Family.
France (royal): Prince Henri, Count of Paris (born 1908) was the son of two members of the house of Orléans, each of whom was likewise a child of two members of the same house. His own marriage in 1931 was to Princess Isabelle of Orléans-Braganza. So this example would count as the latest example -- correct?
I am *not* an Orléanist but for followers of this claim: Prince Charles-Philippe of Orléans, so-called Duke of Anjou, is married to his agnate Diana, Duchess of Cadaval.
France (imperial): can anybody fill me in on the house of Bonaparte?
Sisters Zénaïde and Charlotte, Bonaparte Spanish infantas, were married to Charles Lucien Bonaparte and the former Louis II of Holland, respectively. The latter as a stretch might work as a Dutch example.
Bourbon-Two Sicilies: the 1868 marriage of Prince Alfonso, Count of Caserta and Princess Maria Antonietta
Carlos, Duke of Calabria and Anne of Orléans.
Bourbon-Parma: can anybody fill me in on this? Because the Bourbons are such a large royal house with multiple branches, I decided to restrict it to the Spanish Bourbons, the Sicilian Bourbons, and the Parmesan Bourbons. So I'm not sure if the marriage of Duke Roberto of Parma and Princess Maria Annuziata of Two Sicilies should count
Alicia of Parma and Alfonso, Duke of Calabria.
Savoy (Sardinia, later Italy): can anybody fill me in on this?
Umberto I of Italy and Margherita of Savoy.
Russia: the 1894 marriage of the Grand Duchess Xenia Alexandrovna and Grand Duke Alexander Mikhailovich. Was there a later example of a union involving Romanov agnates? How about earlier cases?
Maybe the last Romanov/Romanov union but in 1901 Grand Duchess Olga Alexandrovna married Duke Peter of Oldenburg.
Greece: none in either the house of Wittelsbach or the specific Greek branch within the house of Glücksburg (the 1964 marriage of King Constantine II should be thought of as a union of Danish royal agnates)
I’d count Constantine II and Anne-Marie per Belgium/Saxe-Coburg & Gotha.
Saxony (royal): none to the best of my knowledge; however, King Georg and Infanta Maria Ana of Portugal might count, if one is talking of the extended Saxon dynasty
Probably Princess Mathilde and Prince Johannes Heinrich of Saxe-Coburg and Gotha.