An Azure service that provides protection for web apps.
That error is about a RateLimitRule, not WAF exceptions. Application Gateway WAF rate limiting uses a platform-managed counter service, and this message means the required backend is not enabled in Denmark East. It does not mean Application Gateway or WAF_v2 is generally unavailable there.
Microsoft's public rate-limiting guidance lists the prerequisites: Application Gateway WAF_v2, the latest WAF engine with CRS 3.2, and a non-air-gapped cloud. It does not currently provide a per-region matrix for the rate-limit backend. The provider-location output from Azure CLI only shows where the WAF policy resource type exists; it cannot expose enablement of this subfeature, so there is no reliable discovery command for it.
To isolate the issue, deploy the same Denmark East policy after temporarily removing only the RateLimitRule, or change it to a MatchRule. If that succeeds, the regional rate-limit dependency is the blocker. Also keep the WAF policy and Application Gateway in the same region and subscription; a policy left in North Europe cannot be associated with a Denmark East gateway.
For a production choice, open an Azure support request under Application Gateway/WAF and ask Microsoft.Network to confirm current rate-limit enablement for your candidate regions. Until they confirm one, keep this control in North/West Europe or enforce rate limiting at Front Door, API Management, or the application layer for Denmark East.