Why do the wealthy in Denmark so willingly pay higher taxes ...

Main reason - they don’t know any better.

 

In Denmark the society is much more homogeneous. So if you take money from one person and give it to someone else, it's not seen so much as transferring money from one group in the society to another, but rather more about spreading out risk.

Imagine entering into an insurance scheme, for instance, where some people paid 10 monthly and others paid 50 monthly. If you were the one that had to pay the 50, you would have a feeling like you wanted to avoid taking part.

Unemployment isn't seen as "That typically happens to other people" but as "That could happen to me".

Because there isn't a group living in permanent poverty in the country, or at least that group is very small.