Denmark didn't complain about cheap electricity, they complained that Sweden limited electricity export at times when the demand outstripped supply domestically. By creating 'energy zones', Sweden was able to decrease demand for electricity in parts of Sweden instead of cutting exports.
The national electricity transmission network in Sweden is still a public utility so the cause for the imbalances in the Swedish electrical grid is not due to privatizations but rather political decisions such as not investing sufficiently in transmission capacity, shutting down nuclear power plants and making it difficult to get approval for wind energy etc.
The debate in Sweden is about the extreme spikes in price that you get nowadays and you see those extreme spikes in price in Germany as well if you look day by day instead of month by month.
The national electricity transmission network in Sweden is still a public utility so the cause for the imbalances in the Swedish electrical grid is not due to privatizations but rather political decisions such as not investing sufficiently in transmission capacity, shutting down nuclear power plants and making it difficult to get approval for wind energy etc.