There are no such lessons. That part was sensationalist nonsense.I still gotta hear more about that, be because so far it just sounds like "what is a Christmas and how does it work" type scenario".
As has been pointed out multiple times throughout this thread, Denmark is one of Europe's most liberal countries, there is a strict separation of church and state and most Danes are fairly a-religious. To quote Wikipeida:
"only 3% of the population regularly attend Sunday services and only 19% of Danes consider religion to be an important part of their life."
https://en.wikipedia.org/wiki/Religion_in_Denmark