South Africa or Denmark?

If you are moving as family & for long term, Denmark is the straight forward answer. Crime rates between two can't even be compared. Denmark is very safe.

Only downside is high tax rate & cost of living. But even that is balanced by tax returning to your pockets with likes of free healthcare, free education (if conditions satisfied) etc....

IMO, Denmark is the obvious choice

Denmark.

I am a mother of a young child and my family moved to Denmark (Copenhagen) at the beginning of October from SA.  While I'll freely admit that I'm still in the "honeymoon" phase of being here, I have no regrets whatsoever of leaving South Africa.  Yes, it's an expensive place to live and we're constantly converting costs to ZAR in our heads, but to walk the streets without feeling impending threat is worth every krone.  The people have been nothing but welcoming and the country itself is every bit as beautiful as South Africa in it's own way.  The opportunity to travel is unlike anything I've experienced ever before and while I miss my extended family I cant wait to get them here to visit as opposed to going back there.
If you get a the chance, then give it a go for at least a few years.  You always have the opportunity to go back, just preferably as a Danish citizen (with a passport that grants you visa free access to most countries).