Both are small populated countries which has an effect on their internal management
In Finland, the government owns nearly one-third of the nation's wealth, and 90 percent of workers are covered by a union contract. That is not socialism, but it's also not a “capitalist paradise,”
In Denmark in November 2016, a new government was formed, now a coalition with Liberal Alliance, and the Conservative People's Party.
Statistics Finland show that while income differences have remained steady, the wealth gap is growing. In 2016 the richest ten percent of Finnish households owned some 47 percent of all net wealth.
Denmark is ranked 22nd in the world for number of millionaires,which given Russia is 21st and its comparative size of population shows there is a huge wealth gap between ultra rich and "ordinary"
Seems that the happiest countries you quote Biggles have middle of the road politics and plenty of " millionaires"