You Do Need power plug adapter while traveling from Cayman Islands 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 Cayman Islands are A and B. This is how they look like.

Cayman Islands

In Cayman Islands, outlets of type A and B are in use.

Type A

Type B

Denmark

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

Type C

Type E

Type F

Type K