It is exported.. primarily to Norway and Sweden, neither of which have any significant amount of carbon emitting generation capacity at all.  Net ecological  gain: Zero. Net economic cost to Denmark of using nordic hydro to loadbalance our wind capacity? Quite large. Danish wind electricity imports are mostly used to conserve waterhead behind dams in Norway and Sweden - this reserve of power is then exported back to us when wind is low at a much higher price. Which means two things - that the actual percentage of wind in the danish power mix is in fact rather higher than export statistics indicate, and that the price of this electricity, including storage outside our borders, is much higher than we admit.

Note that this does not have any bearing on the question of our emissions- those numbers are not affected by these shenanigans at all, because they are a simple result of the megatonnes of coal we burn.
(and let us not discuss Barsebeck. That was an offence against sanity)
French power exports, which are typically a heck of a lot larger, go to countries that do use coal. Net ecological gain: Large.