Definitely more the latter [...] countries speak for themselves).

What you talk about, concerning "trust in the Danish society", is clearly a cultural matter. And, as I highlighted in the other comment, cultures neither coincide with countries, nor they should.

I don’t see it like that. Yes, someone living in the other part of Denmark doesn’t directly affect me of course. But I do think they meaningfully affect me, even if in a small part.

We could spend weeks discussing what to "meaningfully affect someone else" entails, but that would be pushing a boundary line back and forth between points of a gradient, to force a conclusion for either side. (That's always a problem when trying to handle quantitative matters with qualitative labels.)

However: no matter where you put that line, it won't coincide with the country, because some people from other countries affect you more than some people from the same country as you. Perhaps because they're shaping what you think, perhaps because they have political power (even over other countries than yours), so goes on. (The opposite is also true - you're likely affecting far some people from other countries than some other people from within your country.)

Anyways, I hope you can maybe understand that for some people, there can be such a thing as being proud of your country.

If I may be honest, the argumentation that you're using is mostly the same as I've seen coming from other people. It is not a matter of "lack of understanding", but disagreement.