Well, you could get it if you wanted , but Nordic food is not traditionally spicy and definitely not hot, so most people didn't bother learning about such things. Remember that we have lived thousands of years from pork and ryebread.
Later chili became all the rage as Scandinavians like things that hurt... just look at the way we consume alcohol for example! Here is another video for you when you reach town-wifi. It is a Danish gastro-flagellant that actually has made a career of it.