I don't know if anyone's reported this, but I'll do it anyway. There seems to be a bug with the fall of Denmark script where Iceland doesn't always go to the UK. It doesn't always happen, but when it does you can see the territory turn blue when the computer is processing the turn, but change back when the player turn starts. Like I said it doesn't always happen, but the last couple of times I tried it when denmark fell before Weserunbung was launched iceland did became part of the UK, but when it fell after the operation was launched the bug happened. Considering when the operation is launched Denmark becomes the UKs ally, maybe its because of this that the computer liberates the city instead of accepting it as its own?