Renaming the Vikings Danes or Swedes sounds utterly silly to me - for various reasons, gameplay first and foremost, a unified civ works best, and a unified civ is neither danish or swedish, but precisely a viking/norse/scandinavian civ. Can't really understand what purpose it should have to call them anything else and piss off the other nationalities. All - or almost all - scandinavians, and people in general, recognize the fact that we are closely linked when it comes to culture, language, history, etc. etc., a unified civ "works" gameplay-wise, and should of course also be named as a unified civ.
As a Dane myself I do not really see a problem with the current name, although it is historically inaccurate. I find the greater problem to be the fact the civ itself never bothers to make a city in Denmark. I would place the capital at Copenhagen, but the name of the Civ itself seems irrelevant to me. Either of the three will have nationalists jump from their chairs and swing their pitchforks.
+ 1. I tried to lobby for Copenhagen a few times before, glad to see broader interest has arised finally for this. Or at least to make Denmark becoming part of this civ in some way or the other, the Copenhagen spot being the most obvious spot. Eventually the plot could start out as Roskilde, Civ-wise it's the same spot, and it was the old danish royal city, before Copenhagen. But that's a minor detail.
I like the idea of the viking settlers starting in galleys, some playtesting obviously needs to get done, but in theory it's a good idea. I would be fine with Copenhagen/Roskilde or Stockholm as Capitols also, no doubt that this is the two most significant scandinavian cities all in all. Oslo, bleh, not so much, Norway has always been the little brother of first Denmark and later Sweden, and it would seem counterintuitive to have the capital there. Would be sort of like making Edinburgh capitol of a British civ, no offense Scotsmen
But in short: I'm fine with Vikings, Scandinavians or even Norse as name - I would go with Scandinavians if it was up to me as it is the most fitting name looking at the timeframe as a whole, and to me it seems the most recognizable and, well, the best name. Just not Danes or Swedes, seems stupid to me. For me the primary issue is having Denmark being Scandinavian on a consistent basis, if not letting a Denmark-spot being capitol city.