(assuming it's the otl monarchy for a while yet)
Almost certainly won’t be if Christian II isn’t deposed. Denmark probably comes under a King John/Hans II after his death.
Here are some random musings:
Germany/HRE: Given that the people of the north aren’t busy killing each other and that you characterized Christian II as somewhat of a Protestant crusader, I think earlier involvement in the religious conflicts in Germany is likely. Perhaps a Nordic intervention in the Schmalkaldic war, which may escalate into a far larger conflict. Now otl Christian II was quite pro-imperial, but given the way things have been going in the TL so far I think it’s safe to say he’s had a change of heart.
Poland-Lithuania and Russia: There’s a kind of a mexican stand off between the KU, PLC and Russia. All have interest in the same territories, and whatever side can get someone else to ally with them are likely to be able to defeat the third. Given that the union has tossed the dice, I don’t think a temporary Russo-Polish alliance is impossible to try and push the Scandinavians out of Estonia and Livonia. Ivan the Terrible might get the Polish bride he desired iotl. Likewise the Union is likely eyeing up Danzig and Ingria to complete the domination of the Baltics.
Netherlands: Otl the Kings of Denmark wanted to see the Dutch revolt succeed, but also feared supporting it too openly as to not draw the ire of the Emperor - they wanted a secure southern front to focus on war in the north. With the north more secure in this TL we may see the Kalmar union support the Dutch more directly.
England/British Isles: Both the kings of Sweden and Denmark competed for English support in otl, if not for anything else then so that the other wouldn’t get it. Without one egging the other on, you may see less interest in England from Scandinavia, but if the kings of the union do take a more directly opposing stance to the HRE - and thus Spain, there may be a more real political reason for an alliance or at least further cooperation.