That really is quite low. I guess they don't get the constant PSAs that you should always maintain 6 months worth of salary in savings to handle emergencies?

That's significantly less required in most EU countries due to the social safety net, affordable healthcare, public transit, etc. There are fewer types of financial emergencies to cover ( like your house's roof collapsing) and even if you lose your job you get unemployment for up to years while you find a new one.

The advice i've heard for France is to have roughly 3 months, preferably in a liquid savings account which even has some interest (0.25% atm, so not much).

You could also sign-up for unemployment insurance if you live in Denmark.

At around 2500 USD / month for up to 2 years, it's a pretty decent deal for average Joe. I think I pay around 800 USD / year for unemployment insurance.

In practice, I'll probably never need it though.. so I have considered dropping it.

You have to consider as well that the typical down-payment for an apartment is around 40k EUR. So it's incredibly frustrating for those that are looking to save.