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Wow, it's not listed as Danish in faunaeuropea indeed! If you want to find it, don't look in the vicinity of Sedum sp. In the Netherlands it has been found at least several kilometers away from the nearest Sedum plant.
The place and time to look for it is in April and May along paths in forests. There you find males, sometimes in a group, defending a territory on some leaves. Mostly found in parks and small woods in the vicinity of urban areas.

Kind regards,

Ectemnius