Her husband, too, would have been only a Highness at birth, despite being a son of the eldest son of the eldest son of King Christian IX of Denmark. After all, his great-grandfather was still living at the time (1900). So only his older brother, the future King Frederik IX, would have been born a Royal Highness -- just like the man we know in history as King Edward VIII of Great Britain. This is justified for a prince born direct in the succession, despite being only third in line to the throne.
Knud, of course, got elevated to Royal Highness in 1906, when his great-grandfather died and his grandfather succeeded to the Danish throne as King Frederik VIII. For this meant that his own father (the future King Christian X) was now the new crown prince.