Nitro,
Given that Denmark have an F-16 at Edwards supporting the F-35A Integrated Test Force and the Danish military are represented at the F-35 Joint Programme Office I would suggest that the Danish Defense Officials have a good view on the true capabilities between the two aircraft.
The Russian rhetoric is just that and is a diplomatic issue. The NATO Baltic Air Policing mission should detect and track the bad guys well before they enter Danish airspace. An F-35 equipped Danish Air Force ups the potency of this mission significantly, for which I am sure the Estonians, Latvians and Lithuanians will be very grateful.
I would suggest that the US has not put F-22s into the Baltic Policing Mission due to the increased implied threat to Russia this would cause. Whether the Baltics would wish for this level of deterrence is another matter.
Wheter F-35 is the right aircraft for Denmark, Norway and the Netherlands? Maybe the Industrial share and integration into the project for each country makes the expense worthwhile? As I recall the F-35C hook system is designed by a Dutch company, Kongsberg are involved in the F-35 wepaons system for integration of the NSM etc. I have not seen any interviews with the Dutch F-35 pilots yet or the Danes involved, their opinion would be interesting. For the UK economy we actually make more money from F-35 than the MOD is spending to buy our aircraft so the investment is worth it.