Occupation of Norway and Denmark was different, at least before 1943 or so, i.e. it was more lenient in Denmark. If I had I choose one country in which I would like to live under Nazi occupation (assuming that it's inevitable).I prefer to think of Scandinavia as more of a puppet arrangement. Closer to Vichy, really. But maybe you're right. It's the incompatibility of war goals with occupation policy that is the source of strangeness.
Vichy is a special case IMO. It is a mix of a neutral pro-Axis country of a puppet, although in order to fully represent it you would need some strategic effects and a war between the Allies and the French State (or at least between the French French and the French State) without the ability to send EXP forces to the Axis or move troops outside own borders, too. Also, the Allies should be able to deploy undeground networks in the territory controlled by the French State.