I think it would be really nice for Mary and Frederik to have a daughter. I think they will have a very traditional name. They chose Christian for their firstborn, which was up keeping with Danish tradition. I cannot imagine they will choose anything to radical for their second child.
Margarethe (is that even spelt right?!) will definitely be in the name if it is a girl, and Ingrid. I should imagine Henrietta will be too, but Christian does have Henri in his name, so perhaps it will not.
Margarethe Ingrid Elisabeth Dagmar would be very pretty.
If it is a boy, perhaps, Alexander, Edvard, Frederik or George.