You Do Need power plug adapter while traveling from Azores to Denmark.

Here is Why You Need An Adapter

The outlet and plug type used in Denmark are C, E, F and K and in Azores are B, C and F. This is how they look like.

Azores

In Azores, outlets of type B, C and F are in use.

Type B

Type C

Type F

Denmark

In Denmark, outlets of type C, E, F and K are in use.

Type C

Type E

Type F

Type K