They speak their native language, but it is shown with subtitles. Also the Bridge have greatly increased the commuter community between Copenhagen an southern Sweden. - As for if everyone understands, then nah - it depends who you ask - I have no problem understanding Swedish and Norwegian, but I've grown up in the eastern part of Denmark, where the two Swedish TV-channels and one danish was the only ones available until 1986... the southern part had access to German channels instead... And i have been vacationing in Norway for the last 30 years...

Written Norwegian is almost like danish, so for Danes it sounds like a really heavy accent with more tune and much less of the danish guttural hard consonants. Then again there are old accents from both northern Norway AND northern Jutland (in Denmark) i find almost incomprehensible...

Swedish have a couple more words where the meaning actually differs from danish, but once you know the exceptions, its not hard (i think). Sorta like Spanish and Portuguese maybe a bit closer.

Sadly nowadays when we all have access to at least 40 channels, more will default to English if they are insecure...