Thank you both!
Is there anyway to avoid insults? In my experiments Sweden spams it hardly until we have -100 relations, and of course, insults are more efficient and easy than gifts.
Also, concerning the Integrate option, which I've never used before: Is it like Demand Annexation? Do I have to wait another 50 years to Integrate another country after Integrating the first? Is it always Very Unlikely or less that the other country will accept?
When the Senior member of a PU you will take insults unless you have a larger army, or if you are in war. Denmark can not field a larger army than Sweden, so you need to expand a bit to be able to support a larger army. Being in constant war for the first 20 or so years as Denmark is imo the best strategy, because after a few provinces you should have a strong economy. The difference between integrate and inheriting is that integrating costs infamy, and you do not get cores. Inheriting will give you cores if both in hre or same culture.
Taking Tuetonic order and Novgorod are easiest, especially with Sweden+Norway helping you. I usually try not to take on HRE countries early because Bohemia can be a real menace until you get stronger. If you take Unam Sanctum for your first NI you can take Novgorod provinces for 2bb a piece, which is a good deal. 2 Wars you should be able to take Novgorod, which is a solid province. 1st war to take surrounding provinces, 2nd war to take the capital. For Teutonic Order I like to do Reconquest CB on them and take Gotland and Danzig. Gotland is a terrible province, but you have a core there, and 4 bb is worth Danzig, this also cripples TO. You also get missions to take Osel, Estland etc. So just whittle down on them as you go. In 5.2 estonia/latvia aren't in the HRE anymore, just Riga which is great.
After you form Scandinavia and have some of Russia/ Baltic the world is your oyster. You have good access to colonizing the Americas because of Iceland, and a big coast so you can field a large army. Your provinces are pretty poor, but you are still stronger than most countries in the region at this point. Plus with sound toll your CoT (wherever you take it or make it) should be really strong from all of the fur and iron. So if you do go the route of colonizing the new world, you will have a really strong trading game. I like to take Novgorod, and then make one in Manhattan (if natives don't make one somewhere). That way I can expand out into Russia and the GH, while also colonizing America. Making my great Northern Empire! If you vassalize a few minors in the HRE, you can also go become the Emperor, and form the HRE also.