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

Here is Why You Need An Adapter

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

Denmark

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

Type C

Type E

Type F

Type K

Vatican City

In Vatican City, outlets of type C, F and L are in use.

Type C

Type F

Type L