Capitalism if alive and well here in the good ol' USA. Capitalism basically states that companies will sell their products for he highest price they can get away with and consumers will pay the highest price they are willing to based on their preferences. Capitalism has nothing to do with fair business practices or government intervention, both of which greatly effect the consumer.
Because we as consumers have limited suppliers of utilities, whether that be electricity, water, power, or land based ISP's, pricing for these services is greatly dependent on multiple factors. Government oversight and regulation is the greatest factor. The control over older utilities, like water and power, is huge. Southern Cal Edison can't raise their rates at will because they have to follow guidelines put in place by regulations. Internet providers do not have those same guidelines. The only factor "governing" them is competition. So in places with no competition, the pricing is outrageous and the quality of service is severely lacking.
The cellular market is the only utility I can think of where the consumer is "winning". Mind you, I use "winning" very lightly. You still have cell coverage as the limiting factor, but in most urban areas the cellular customer will have a equal quality service from the major carriers. If you don't like Verizon's pricing, then hop on over to Tmobile or Sprint. Cellular is the closest utility that demonstrates "Capitalism" because it has the largest number of competitors, least government regulation and the lowest infrastructure cost.
As for Denmark, I would venture that the government has a huge say in how ISP's conduct business. I think you have the wrong idea about Capitalism. It doesn't guarantee the lowest price and best service for the customer. Only competition does that. So in industries with little competition, whether that be from government oversight or prohibitive capital expenditures, the consumer is going to pay more.