Although taxation in Europe does look like a major disadvantage compared to other places and seem to make FIRE impossible, the overall picture looks a little bit better at second glance, especially for young families. There are a number of reasons:
1) Compared to almost all other countries, the US provides a highly unusual, almost uniquely favorable environment for FIRE. This applies in particular to very high income earners without kids. Be aware, however, that even for US standards today's capital gains tax levels and tax shelter possibilities are exceptional and of rather recent nature. In the 1970s and much of the 80s, comparable tax sheltered retirement options didn't exist (401k first in 1978, ROTH IRA since 1989 etc.) and capital gains tax ate as much as 40% of your gains.
2) If you plan to start a family with 2 or more kids, many of the services that are provided in Europe for "free" (=via higher taxes) mean additional out of pocket expenses for US parents. So, it also counts what your personal situation will be in the long run.
I don't know the exact details in Denmark, but there are some advantages in Europe that are common in many countries and that will at least partially offset higher taxes for a family:
-Health insurance premiums are based on income, not health status. If you or one of your dependants develops a chronic health problem, it likely won't affect your savings rate at all. Also, treatment cost is not capped to a certain amount. So, if you and your SO are of the frugal type and happen to be of advanced age with a number of chronic conditions, you'll still be able to afford health care for a very moderate price. Furthermore, dependants are insured for free. A large portion of US parents is at a clear disadvantage here financially.
-Schools. In the US, the quality of education provided by public schools is often of rather low quality, particularly in big cities (exceptions aside, of course). In Europe, while schools are not perfect, the quality of public schools is at least acceptable, and it is so in almost all places. Drug trafficking or crime in schools is less of an issue. Depending on the location a US family is bound to because of work, it might have to pay for private school.
-College. In the US, tuition even for an in-state student at a public university frequently runs up a five-digit figure. Annually. For every single kid in the family. Thus, many US households face tuition expenses of $80k just for their two kids to get bachelor's degrees. In reality, the cost is much higher because the both-kids-as-in-state-students-at-State-U is about the financially cheapest path possible. In Europe: Next to nothing extra. Some people in the US get their degrees via military/ROTC and pay for their tuition later via years of service. This is not an option for everyone, though.
-Property taxes. In the US, property taxes are HIGH. A family residence frequently runs up thousands of $ just in property taxes each year. I don't know about the situation in Denmark, but for my apartment in Germany worth roughly $220k, my annual property tax bill is about $190. Although city-provided services (garbage pickup, etc.) have to be paid for extra, all those expenses combined plus taxes is nowhere near as high as a typical US property tax charge.
To sum things up, as a high-income individual working for a large company and without the intention of having a family, it is easier to FIRE in the US than in Europe. On the other hand, many of the disadvantages that stem from Europe's high taxation are at least partially absorbed for families, while US parents have to pay for everything extra. So, for a medium-income European family (e.g. $70k-$90k before taxes) FIRE might actually be easier to achieve than for its US counterpart.
