Just because Denmark doesn't have the same gun laws, culture around using guns for self-defense, or prevalence of guns as the US does, it doesn't mean that Danish police face no risk when they raid someone's home. Anytime the cops raid someone's home, regardless of whether or not is it a legitimate raid of a legitimate criminal, it's a violent act and there's risk that the cops will be hurt or killed.
Since 1945 12 cops have been killed in the line of duty (excluding traffic accidents), mostly when responding to a violent crime (trying to stop bank robberies lead to 6 of those fatalities).
The activist is well known. They likely knew he would answer the door, yet they still broke it down. In the U.S., you'd probably shoot some dog in that situation, if one was available.
The entire scene is probably not meant as effective policing, but as punitive theater. This also explains why they disabled the cameras, as the theater was not intended for content reuse.
Given that, I'd assume they knew he wouldn't shoot them or do anything even remotely like that.