I think a big factor here is the setup of higher education. The school system here (and the Finnish and I assume the Danish systems are rather similar) is rather different from the American college system. You usually end secondary school at age 18–19, at which point you might work a bit, do your military service if you were my age, and so on. But once you started higher education, a lot of people moved out because the higher education was in another city.

So I think you can look at the breakpoints where people tend to move out: becoming engaged/married; starting a family; starting an education; getting a job. It's not that Scandinavians get married earlier or get kids earlier, it's probably because the education system is tailored towards moving out.