How do you intend to get to Cancun? Can you get that segment date changed and fly there on a different day and use the ticket? Otherwise drop the segment with the travel agent. If it is ticketed separately they will just say you will forfeit, If part of the same journey they may reprice the journey.

I think this is very simple. It seems clear to me from the OP that it is one ticket. If you do not get on the flight MEX-CUN the remainder of your ticket (ie the return flights) will be cancelled and you'll have to buy a new way home to CPH (which is likely to be very expensive).