Yes, it's confusing!!!
When applying for a SETV (in the US), you do NOT need Confirmation of Legal Address and any Passport pages other than the cover page with your photo. I'm assuming that if you're doing your application through the Thai Embassy in Denmark, and you have a Danish passport, no sort of proof of residency would be required. It wasn't required when applying through the Thai consulate in Chicago using my US passport.
For hotel booking, I sent only the confirmation for the hotel in Bangkok where we'll be spending the first few days. Afterward, we're staying at our daughter's house, and I didn't send anything for that.
Hope this helps.