Labor unions are one of the key pillars of Danish society since the ending of the 19th century. Labor unions are one of the reasons why Denmark can be considered a rich country. The reasons why salaries in Denmark are so high is because on multiple occasions since the end of the 19th century organized workers stopped working and said: "We don't mind working but we are not doing it under unfair conditions. Work is the thing that puts bread on our table and it has to be profitable for us." That is the reason salaries in Denmark are high and that is the reason why Denmark is such a popular destination for migration.
Leaving your native country can always be tricky. You come to a completely foreign society that works in ways that are completely unfamiliar to you and that can be daunting. That also leaves immigrants prone to exploitation because there will always be employers out there that are willing to profit on that constellation of events. My friends that worked and traveled around the world said that their first employment experience was always like that. On their first job thy were always underpaid. After a while they would learn the ropes of the country they are living in and they would find something better.
One time my girlfriend asked me: "But why would foreigners agree to work under bad conditions and be under-payed?" The answer is simple. Because they don't know what does it mean to be under-payed in Denmark and because their living standard is dramatically improved by accepting even the underpaid job in Denmark.
Take my example. On my current job I am earning three times more compared to what I was earning by working on a University job in Croatia and my working conditions have never been better. Now imagine what will be the difference in the living standard for someone coming from Somalia, Syria or Afghanistan? By even taking the heavily underpaid job their living conditions improved a hundred fold not three times. That is why and that is why they are prone to exploitation and that is why labor unions are important.
By moving to Denmark and not being a citizen the best protection you can get is by being a member of a labour union. If you are an EU citizen, you can stay in Denmark as long as you want if you are working and paying taxes. Then you are set. By being a member of a labor union you can give yourself that one extra layer of protection for the most important thing that is enabling you to live in Denmark, work. Plus, labor unions will be able to help you out with your salary, to double-check that you are not being cheated, to help you out with working conditions, overtime work and protect you from being fired on a whim. If work is the key element that enables you to live in Denmark adding an extra element of protection to it, can't be a bad idea.
Also if you are debating with yourself should you or should you not be a member of the labor union, you need to understand that the reason why you have great salary, a lot of vacation, 37 hours working week and great working conditions is because through the 20th century labor unions fought for it and they won because all the workers knew that the only way to achieve this is by standing united. And because of that, workers from all the countries, join! You have nothing to lose except for poor working conditions!