Yes, I have specified Danish in the Character panel and also set hyphenation to Auto. (Unfortunately, it is not possible to select Danish as the hyphenation language. See the attached screen dump.) Furthermore, I have checked the auto-hyphenation option in the Paragraph panel. (The second screen dump.)
In shorter texts, it is quick to manually insert soft hyphens. However, this would soon be tedious when working on a document with more than a few pages.
iMac 3,06 GHz Intel Core 2 Duo
Affinity Publisher Beta 18.104.22.168