I agree that it is discriminatory, but not all types of discrimination are illegal, and it is not illegal to discriminate on country of issue of a credit card. Discrimination based on gender, race and religion, is also illegal in Denmark. Nevertheless, the fee is a really bad idea and not good for tourism!
By the way Danish Supermarkets Bilka, Føtex and Netto will from May 2009 start accepting credit cards; of course they add a fee for foreign cards. Coop (Brugsen and Kvickly) started accepting CC around a year ago. Non acceptance of credit cards in supermarkets in Denmark was/is a big problem for tourists here due to the national debit card Dankort, which around 95% of all Danes possess, and which is much cheaper for merchants to accept and free for the customers.