Hi Darkman!
For the Danish straights, the rules state:
• Danish Straights: Denmark. In order for any naval unit to move through the Danish straights, Denmark must either be a neutral territory or controlled by the side wishing to move through the straights at the beginning of the movement phase. Submarines may attempt to ‘run the straight, see 7.6.3, below.
So - German (and British) naval units are free to move through the Danish straights while Denmark is neutral.
The Norwegian set-up is 1 infantry unit in Oslo and one in Bergen. This should be on the back of the set-up charts. If you do not have access to the drop-box, let me know and I will send them to you direct.
The Germans could declare war on both Denmark and Norway on the '0' all move chit draw, for example, and move from the Baltic to invade both Norway and Denmark on the same chit if they desired.
Alternatively, I usually set up my German fleet in Wilhelmshaven and invade the Narvik space as then I do not need to expend a transport and can land additional troops on the non-combat movement phase.
I too have struggled with some of the things that were done in history that you can't quite pull off with the game mechanics. The invasion of Narvik being one of them. This is minor, as you point out, because the Germans can still invade the Narvik territory, just not from the Narvik port sea zone.
Giving transports a range of 3 or more for amphibs creates a lot of challenges. . .we used to do this. They became even more difficult to defend and, in reality, most were conducted over pretty short ranges.
One thing I have thought about is perhaps allowing destroyers to carry one infantry unit and being able to move tactically and land them in enemy owned territories (not enemy occupied, as that would require a landing craft) - but land them in enemy owned (or friendly) territories. Perhaps let them only do this with mountain and para units (that had light equipement) if you really wanted to restrict it). This way, you could pull off a Narvik invasion with a destroyer unit. . .then the Brits could move on a later chit draw and sink it if you really wanted to get historic. . .