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When Playing as Denmark, the 'cultures' list in the 'Nation Info' window lists only 'Scandinavian', despite having several provincial holdings in Germany, Russia, North America and Africa.
I'm not an expert, but I believe the culture list on the screen are only those cultures which are "inherent" to your country. They don't change (maybe through events).
Most countries have only one culture, though some have more. For example, England has anglosaxon and french as their culture.
On that list are the supported cultures, state cultures. Provinces which have that culture will not suffer any cultural penalties, others will. Denmark only has the one so any other culture prov they take wil get cultural penalties.