Nooooo, not "Dagmar"!! :o
I'd rather have "Thorhildur" (one of Margrethe's names) than Dagmar.
I think Mary would choose a historic first name, but I also don't think she will feel shackled in having to choose a historic name. I think they'll choose one they'll like.
And I still like
Margrethe Henrietta Ingrid.... lovely! And all names very meaningful to the Crown Princely couple.