It shouldn't. There's no political gain for any of the major parties. It also happens after several, relatively minor, cases of corruption and nepotism in the military and intelligence services (former high-ranking official just got 3months prison today). It stinks mostly of a corruption and several decades of lack of proper oversight
Is it related to that Iranian kidnapping plot that led to Denmark being shut down for a while the other year? (Only because it's the most dramatic thing to happen there in a bunch of years, that would be related to the intelligence service.)
The intelligence agency involved here is the military intelligence as opposed to the police intelligence. Think CIA vs FBI.
The military intelligence are allowed to do whatever it takes to defend against foreign powers, but they are not allowed to gather intelligence on Danish citizens. If they uncover something that involved danish citizens or internal threats in the course of their work they are supposed to hand it over to the police intelligence service.
As I understand part of the scandal is that this has not happened, compounded by active measures to cover things up towards the oversight committee.
Well, the article says that they are accused of spying on danish citizens and providing the results to foreign entities without authorization or legal base.
You ask what were the targets implying that it matters and some "targets" are not as equal as others. Sorry if I've gotten you wrong.