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That's right. It only shows the adult male population. Just move your mouse over the population tab where it shows the number, the tooltip should tell you the total population (which is 4 times the number of displayed adult male population).
 
As far as Denmark's population goes, no. Southern Schleswig should be majority Danish in 1836, and majority German in 1861. In the game it's majority German both in 1836 and 1861.
 
Vicky 2 pops are a compromise between historical numbers, gameplay related abstraction and engine related optimization.
 
In 1836, Texas should have a total population of about 30,000 Texans, 5,000 slaves, 15,000 native Americans, and 3,500 Mexicans. I was impressed with how close Vicky2 was to those figures. Mexico should have 7 million and the US 15 million. Haven't checked how accurate they are, and I'm not at home to fire the game up.
 
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They got the population remarkably accurate in many parts. For example, the historical population of India in 1700 was around 170-180 million, and by the time of collapse of the last Indian Empires (1813-1857) that would've been around 250-300 million. Which is not too far from in-game population figures.