If you don't like scandinavia it's not compulsory to stay. You can go back to your country, which must be unbelievably better than Denmark or Sweeden. Anyway it's very difficult to discriminate against peeople who don't have papers, because they just don't exist. If the first thing they have done when coming into the counntry is breaking the law and entering ilegally, then they shouldn't be welcomed, and the law must be applied (to everyone, like any civilized country would do).
I'm glad to hear than citizens colaborate with the authorities, that's what people do in any normal country, maybe it's not done in yours, what explain what kind of country you come from.