The local language (DAN / da-DK) sub directories exists both for the service and the client. All objects are localized (DK) and when clicking on the “button” then it displays the new page correctly in Danish.
The problem seems to be related to the Windows/User setup, as it displays correctly for other users. But I have not been able to find out what settings this is caused by.
The difference between my setting and the setting of the other users was that I was using the RAPIDSTART Profile, whereas the other users had other profiles! Changing my profile id also solved the problem.
What led me in the right direction was the fact that the captions shown under the Navigate actions were displayed correctly in Danish, it was only the captions (but only some of them) which were “promoted” to the Start actions that was wrong.