Nah. They just don’t make the news in the U.S. as much.
(You left Great Britain, which is farther North than most of the cities of Canada off your list, but it has known a lot of serial murderers, including such recent offerings as Dennis Nilsen, and Dr. Harold Shipman (who has been accused of up to 300 deaths).)
And, of course, Ireland at the same latitude has suffered several terrorist attacks.
Among the folks of whom you have apparently not heard are:
Thomas Quick, Sweden
Robert Hansen,Alaska, U.S.
Leszek Pekalski, Poland
Lucian Staniak, Poland
Sergei Ryakhovsky, Russia
Vadim Yershov, Russia
Sasha & Lyudmila Spesivtsev, Russia
Paul Bernardo, Canada
Another thing to consider when picking your candidates for safety: Each of those countries is rather sparsely populated. At 32 million, Canada has the most people in your selection–spread across the second largest area of any country in the world. At 5.3, 4.5, 8.8, and 5 million people, each, Denmark, Norway, Sweden, and Finland have populations smaller than several of the world’s large cities. There will be less crime of any sort when there are fewer people to commit it.
There are psychotic killings in Finland, but you don’t hear about them in American news - I mean, I guess there are more important news from American perspective. There was Jammu Siltavuori, a pedophile who kidnapped and killed two little girls, there was Sanna Sillanpää, who shot (I think) four people at a shooting range - and now there was the nutcase who suicide-bombed a mall near Helsinki. (The mall-bombing did make it to American news - strange if the OP writer didn’t notice it.)
And while this was the first terrorist attack in Finland since the WW2, the first half of the 20th century was a rougher time - there was assassination of hated Russian General Governor Bobrikov before the independence, there was a bloody civil war, the 30s had the fascistoid Lapua movement kidnapping people (including a former President) and attempting a coup.
The Thomas Quick case is somewhat debatable. I do not deny that he is totally off the rockers and should be locked up and the key thrown away (he is a sadist homosexual rapist, most possibly a murderer and perhaps a cannibal as well).
Now, as a result of the psychiatric treatment he’s undergoing, he is admitting responsibility to each and every unsolved murder case and disapperance in Scandinavia during the last thirty years or so, even one case when two boys, that he claimed he had killed and eaten, turned out to be very much alive. My impression is that he is willing to confess anything just to be able to be in the limelights.