It is a bit odd, but it could be that for the most part, for whatever reason, they're just not into it. Finland is usually fairly well represented, tho, and I've been noticing the last couple of years in the junior ranks that Sweden seems to be emerging; they've had some very promising prospects the last few years. Lack of world-level coaching may also be an issue. Plus in some areas where hockey and speed skating are much more popular, that's where most of the available ice time goes.
Why Norway doesn't seem to have many is a bit of a mystery, given that Norway is the land of Sonja Henie. I read somewhere that many Norwegians today associate Henie more with a huge art museum she and her husband gave to the city of Oslo, than they do with her skating career. Part of this might have to do with the fact that the Norwegians were less than enthralled with Henie's perceived pro-Nazi stance during WWII; perhaps because of this, she didn't inspire a lot of little girls in Norway to take up the sport, as Michelle has done here, as an example. Apparently not even having the Olympics there inspired much, tho; it's been 12 years since Lillehammer and we still rarely even see a Norwegian skater even on the junior level.
Now as to Denmark -- inadequate facilities, in part. Plus, really, given the way the Danish federation treated Mikkeline Kierkgaard, a lovely, talented skater who had given them some of their best ever results, I can't imagine anyone there being overly inspired to go into the sport.
Iceland has just recently started sending skater to junior competitions; should be interesting to see how that plays out down the road.