Based on a Q&A in Billed Bladet I can add this trivia:
There is a fitness room at Amalienborg, which is used by the employees as well as the DRF, mostly, it is presumed, by M&F.
There is also a fitness room at Kancellihuset at Fredensborg.
And PH had some instruments of torture set up inside Fredensborg Palace itself, which he is supposed to be using. - Good for his weight and back, buuuut....
I love work, it absolutely fascinates me. I can sit for hours looking at people working.