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I've taken this train from Hamburg to Coppenhagen. It's fascinating to watch the train be put on the ferry and then you got a nice ferry ride and can marvel at the size of the wind farms off the coast. I would highly recommend it if you have the time.
Yep I took it from Gothenburg to Berlin (via Copenhagen and Hamburg) and those wind farms are seriously impressive! Also a really cool view if you take the bridge from Denmark to Sweden, windmills in the sea almost as far as the eye can see.
Was the portion over the Oresund Bridge by bus then? It is indeed an impressive bridge. You get a good glimpse of it flying out of Copenhagen as well.