Be offended all you will, that is your prerogative.
It doesn't change the fact that the names you listed were names of
consorts , not ruling Queens. Nor does it change the fact that protocol dictates that ruling Queens in Denmark are to be named Margrethe.
Your "argument" that not every Queen can be named Margrethe, would suggest that not every King has to be named either Christian or Frederik, and with the exception of King Hans no-one has broken the protocol. In other words: What in gods name
compells you to believe that protocol would be broken in this hypothetical situation???