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I don't think burning a Koran achieves anything good. I think it only inflames relations inside a country (not only with muslims) or that country with other countries.  If Denmark or Sweden have been in open war with muslims then it would probably not matter, but they arent. Might even have been orchestrated by agents from another country.
Notice how it's not pious people who do this kind of stuff, rather it's always some kind of political extremists.