I can't say what it's like in Denmark, but it seems like your need for IT people is much greater than ours. Makes me debate moving there, seriously. After the dot com bubble burst over here, investors and parent companies have been skiddish to take on new IT people. We outsource far more than we should, given the number of quality applicants in our own work pool that would gladly do IT for only slightly more (and in my opinion be worth the difference).
If I call another company and get forwarded to someone who speaks English as a third or fourth language, I might kill someone.
That aside, I don't know what it's like over there but over here the more academic your degree the more limited the opportunity each step of the process will afford you. That probably doesn't make a lot of sense, but essentially if you get a bachelor's, you open a set of doors. Each door requires further education or certification to be fully viable for a job, but you have a lot of opportunities. If you get a master's degree, people will consider you a better applicant for whatever that degree is in, but the amount of pay you'll get will only increase if you find a company that can afford you and really wants that higher degree. So if you have a PhD, your options are to work for the same amount of money a master's holder has, or teach, or keep trying to bargain your way up. Here in the states, IT companies want experience first, mainly because 90% of IT companies on this side of the pond (Mexico and Canada included) are fly-by-night and if you can manage to hold down a job for a couple years you're either very smart or very stubborn.
Probably the latter. But good luck either way! Sounds like you're in an ideal position either way.