As a frequent guest at both of these two properties I would like to share my view. Except for the breakfast I would go for the CPH Hilton. Rooms and location (for Copenhagen) is a lot better than Malmoe. The trip over the bridge is fast but the train tickets plus taxi ride will make it an expensive experience (count about 12 euro per person for a single train trip plus another 8-10 for the short taxi ride). Malmoe will also cost valuable time from such a short holiday.
The new Copenhagen Metro is now open and it stops at CPH (1 minute walk to the Hilton). Don’t buy the single standard tickets (expensive), go for a prepaid multi-trip card (can be used by more than one person on the same trip so just buy one) or the “CPHCARD” which gives unlimited public transport in Copenhagen as well as entrance to museums and other sights (costs 30 euro per person and 24 hours).

More about the “CPHCARD” can be found here:
http://www.visitcopenhagen.com

As a final note, there is no Executive lounge at the Malome Hilton.