My feedback.
So they wanted your Danish tax ID.
They got your Thai Tax ID too because that's the same as your yellow book.
If you're in Thailand more than 180 days a year you're a Thailand tax resident regardless.
If your pension is EXEMPTED from taxation in Thailand, you can bring it all to Thailand and none of it is accessible as far as Thai taxation and no need to file here either. To know this, you need to find out the terms of the Denmark Thailand Double Taxation Agreement I seriously doubt the bank would know anything about that. Scratch that, I would bet the house they wouldn't know -- they're not revenue agency, they're a banK!
I am not sure if it was correct to use your Denmark address rather than your Thai address as I'm assuming you live in Thailand and are a Thai tax resident here (over 180 days).
I don't like the bank making these decisions for people on how to fill out those forms. I DO NOT trust them.