a Schengen Visa is normally for touristic and visiting purposes und give right to stay and move in the whole Schengen area for 90 days. As far as I know, there is no Schengen Visum with the aim of marriage. I think, this must be a national visum.
Anyway if your fiance gets a Schengen Visum from the German embassy and then you go to Denmark and get married, or even if you get married in Germany, it doesn't mean automatically that he can stay with you. Normally (according to German Alien Law) he must make a procedure of family reunion, from his home country (or his country of residence), that means an application for family reunion in the German embassy there. He must have a Certificate A1 German language. As you are a German citizen, you must not prove, how much money and living space you have.
To make this procedure from Germany is generally only possible, if you have a hardship case.
You must also be sure that the marriage procedure in Denmark is made in a proper way and will be accepted in Germany. There are cases, in which some documents were not made in a proper way or failed.