Copenhagen has its share of grandness too. They are though quite pragmatic about the use of their palaces. One is currently being used to house parliament.
While this set of four (by British standards) smallish palaces house the Danish Royal Family. Princess Mary was nowhere to be seen that day, by the way, but it certainly is a long way from the Slip Inn.
It was an altogether more casual set up than at Buckingham Palace. No Secret Service-like security guards, just the ceremonial guards. And the no heaving crowds either, just small groups of casual tourists. Just the way I like a tourist attraction to be.