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In Merete Wilkenschildt's book "Kongeligt leksikon" (2000) I found some information about the proclamations of Queen Margrethe and her predecessors:

Queen Margrethe stepped out onto the balcony TOGETHER with Prime Minister Jens Otto Krag. This was a deviation from previous proclamations, where the new king had first stepped out onto the balcony AFTER the proclamation. Prime Minister Jens Otto Krag shouted three times in three directions: "King Frederik IX is ​​dead. Long live Her Majesty Queen Margrethe II." Afterwards, the Queen delivered a short speech (this has been the custom since the proclamation of Christian X), and announced her motto.

The tradition of royal proclamations dates back to the absolute monarchy - it was first mentioned in connection with the death of Christian V in 1699, and at the death of Christian VI in 1746 it took the form used also under the constitutional monarchy.

The last time a king was proclaimed with the participation of heralds and the fanfare of drums and trumpets was at the proclamation of Frederik VII in 1848. At the proclamation of Christian IX from the balcony of Christiansborg Palace in 1863, it was the first time heralds did not ride in a procession afterwards and repeated the proclamation in the city squares.

Under the constitutional monarchy, the proclamation has become the only public, ceremonial marking of the new monarch's accession to the throne.
In 1906 and 1912, the proclamation, however, took place from the balcony of Christian VII's Palace at Amalienborg because the reconstruction of Christiansborg Palace after the fire in 1884 had not yet been completed. In 1947 and in 1972, the proclamation again took place at Christiansborg Palace.