I also think the baby is due earlier than May, as announced. The timing of the different events involving Joachim and Marie have been carefully paced - the recent official photos were released just a short while ago, though the pictures were from much earlier in the year.
Now, her mother has arrived on the scene, naturally, to be with her only daughter as she delivers her first baby (and a royal one at that!). It is very natural for her to be there perhaps a week or two before actual due date to ensure her support for Marie in the last weeks before the blessed event and then through the actual birth and perhaps even the beginning of motherhood back in Schackenborg (in my opinion).
I would imagine everyone must be in Copenhagen, close to the delivering hospital.
Marie's mother --- now there is a lady with style. She might be able to give her daughter a pointer or two while she's there. Very well dressed, simple, yet smart looking. She was also very well dressed at the wedding.