I carry an insulin pump and regularly connect through LHR. I've never had to remove my pump and generally have been dealt with courteously and correctly by the security agents. My pump nearly always alarms the WTMD and I get a pat-down and explosive tests swab. I spend perhaps 1 minute more at the security check-point than passengers who walk through the WTMD and don't alarm.
There is no reason whatsoever to remove your insulin pump. The only people who can require you to do that are medical personnel (or obviously you yourself). I'm somewhat surprised by your experience at Kastrup airport. I've travelled through there a few times and never had any issue. I would have escalated the issue and asked for a supervisor.