It’s got nothing to do with laws. We are talking about countries that all have well functioning markets and copyright protections and licensing and contracts.
It has to do with companies not bothering to release things in countries where they don’t thing it will sell, which of course guarantees that it won’t sell. It made sense in a physical distribution system, but in an online distribution system it’s stupid.
I get why the Danish part of Naxos might only sell a physical CD of Danish songs in Denmark, but Naxos is perfectly capable of selling downloads in countries all over the world. They’re not prevented by laws.