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[JDR Dragoon]

but i would not include the whole denmark because it would be almost impossible to conquest due to the game engine and all the islands that Denmark is compossed of (it would require a strategical decission to generate an amphibious assault on each island...),

No, it would merely require that the scenario designer do not put any victory hexes on any of those islands. Thus they will be of no importance to the outcome. What matters is Zealand and the large island immediately to the south and west of it (Møn, Falster, Lolland, Fyn).

so about Denmark i would say to stick to the Jutland peninsula and make it to reach until Aalborg.

If you are going to do the rest of the peninsula you do the rest of the peninsula. A hexside spanning bridge is all you need to cross even the largest water obstacle on the map.