To me, this criticism is similar to asserting that mandating seat belts in cars has led to more traffic accidents because they give drivers a sense of security. And it is probably true when looked at narrowly. Policies should be judged from a general equilibrium perspective, however.
Like all institution-building this work is not complete (and probably never will be), but Banking Union is about the single market, competition and innovation. These are not currency issues, and Denmark would benefit from joining the Banking Union.