I personally agree with them (although I don't think I have that great of a right to an opinion in the first place since I'm not Danish and it's their monarchy, so whatever the Danes decide in June is fine by me). I don't think women should be kept from the throne - that's unnecessary and impractical and we've seen great woman monarchs, like Margrethe herself or Elizabeth II and Beatrix, as well as women in history (Victoria, Elizabeth I, etc.) However, I think the law should place males ahead of females in the line because I think there are reasons it's better, in general, to have a King:
First, I think there's a role for both a King and a Queen. Yes, there's usually a Prince Consort, and yes, Phillip, Henrik, and Claus have all done good jobs in their role, but I think you get "more for your money," so to speak, when you have two monarchs rather than one monarch plus a prince.
I also think Prince Consort is a difficult role for a man - it's hard to spend your life walking three steps behind your wife. I think it's difficult for a man personally and difficult for the marriage. (Maybe one could argue it shouldn't be this way, but it generally is in our society.)
If a woman comes to the throne as Queen Regnant once her children are grown, then this next issue doesn't matter. However, if she has small children at the time - like Margrethe and Elizabeth II - then it's difficult for her to fulfill her duties and spend enough time with them, as was the case for both these women. A King who is also a young father doesn't have quite the same problem because his wife has more time for them as Queen Consort and because fathers aren't expected to see quite as much of thier kids as mothers are. (Once again, maybe one could argue it shouldn't be this way, but it generally is in our society.)
I don't know what the arguments of the young conservative group are since I don't speak any Danish, but those are mine for why it's better to use a succession system that provides a King when possible. One argument a lot of people seem to be making is that it isn't fair to deny a girl the right to the throne because she has a younger brother. This seems to presuppose that the throne is a wonderful thing everyone is just clamoring to have. On the contrary, you tend to see royals reacting the opposite way. For instance, the two younger Swedish siblings say they're glad Victoria's the heir and not them, Margriet of the Netherlands says she can't imagine anything worse than being Queen like Beatrix, and I've read that when Elizabeth was a young girl after it became apparent her father would have to take the throne she used to pray for God to send her a brother. The throne is a lot of work, a lot of responsibility, and generally pretty restricting for your life, your spouse's life, and your children's lives, which is why most royals would prefer to avoid it. I think the fact that the Danish system currently keeps women from being in this situation unless they have no brothers is a show of great preference to females, and I think making the succession laws gender-blind would be a loss to a royal woman's rights rather than a gain.