I checked with customer service reprensentatives for Avis, Budget, Hertz and Alamo, to
get information regarding your question.
All the agents I talked to said the same thing... an IDP is not required to rent in Mexico; but every agent stated that they would strongly recommend that he get an international drivers license, just to avoid any possible problems at the rental counter, with regards to any language barriers or translation issues.
Read more about International Car Rentals
While your client's Danish license would certainly be accepted by the rental car company in Mexico, it would certainly not hurt him to get an IDP (international drivers permit) to show as well.
An International drivers permit is a translation of a drivers license into various languages... it must be shown in conjunction with the renter's valid drivers license issued from his or her country of residence. It is not accepted on it's own. The easiest way to get one is through AAA or an Automobile club.