You saw the wine they kept in the Rosenborg Slot? 

They keep the wine in the cellar with a metal gate and lock. I do not see any labels but I was told that they are still producing their own wine. The Denmark royal family keeps wine for several hundreds year and most of them German white. Nowadays, they will top up the barrels so that the wines are NV wine.
On anther occasion during my visit, I found that the Denmark Royal family has some investment in France wine too, a Cahors chateau Ch. de Cayx