Yes, Embassy of Denmark in the United Kingdom holds a UK sponsor licence

It is on the Home Office register of licensed sponsors for the Skilled Worker, Government Authorised Exchange and International Agreement routes.

Licensed routes

Skilled Worker
A ratingWorker
For eligible skilled jobs in the UK. The role has to meet the skill level and salary rules for the route.
Read the route guide Check the salary rules
Government Authorised Exchange
A ratingTemporary Worker
For approved work experience, research and exchange schemes.
International Agreement
A ratingTemporary Worker
For work covered by international law, such as employment by an overseas government.

What this means if you want to work here

To work for a UK sponsor you need a Certificate of Sponsorship from them before you can apply for your visa. A licence is what lets Embassy of Denmark in the United Kingdom assign one.
An A rating means Embassy of Denmark in the United Kingdom can assign Certificates of Sponsorship.
Being on the register does not mean Embassy of Denmark in the United Kingdom is hiring, or that it will sponsor a particular job. Sponsorship is decided role by role, so ask before you apply.
The job itself has to qualify too. Licences are granted per route, so a role has to fit a route listed here and meet that route's skill and salary rules.

Look for open roles

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Other sponsors in London

Source: Home Office register of licensed sponsors. UK Sponsors is independent and not affiliated with the UK government. This page is a plain-English summary, not legal advice.