My chosen DNS Hosting Provider does not support .dk hostmaster's process for DNS redelegation, what should I do?
So while the new process for redelegating to other DNS servers work quite well, provided the new DNS hosting provider support it (as e.g. simply.com does), several - including Cloudflare - do not.
This is easily overcome by using the simple "anonymous redelegation" link:
It can also be automated, as explained on the page itself - the example below is taken from there.
Shortly after requesting the change you will be asked to confirm the requested change. You will have to login to your account(s) at https://selvbetjening.dk-hostmaster.dk/ to confirm this.