The ETF, XACT OMXC25, is an accumulating fund, i.e. there is no distribution of dividends to investors from the fund.
As for taxes on dividends relating to danish companies in the fund, the fund will pay 27% in taxes to the Danish Tax Authority but will be eligible for restitution of 12%, leaving the tax on dividends to 15% in total. As an investor in the fund, you do not need to do anything since the tax issue above is handled for the entire fund.
More information: https://skat.dk/skat.aspx?oid=2277093