@Anita - By "Hamburg is definitely your outlier here," do you mean it's not worth it? Based on what I looked into, it'd be about 5 hours/80€ on train.
@Morten - "Crossing borders" isn't my main objective, but I don't think it's mutually exclusive with seeing interesting sites. I figured I'd try different cities while in the region for different experiences. But I'm not familiar with the area, maybe there's nothing interesting in Hamburg or Malmo, do you think I'd be better off just sticking around Copenhagen?
@Tim - I looked into what you suggest, but Copenhagen is significantly cheaper to fly into than Hamburg, so wherever else I go, I'll have to eventually circle back to Copenhagen. Do you think it's worth it, based on my time frame (9 nights) to try to do Hamburg (if you're familiar with it)?