Musholm Bugt Feriecenter had double booked, which meant they did not have a room for us when we arrived.
They had sent us an email late in the afternoon telling us about the situation, which we had not seen upon arrival. In the email, which we only read later, Musholm took responsibility for the double booking, but when we talked to them they blamed it on hotels.com (which was not true).
The only help they provided us were recommendations which other hotels to approach at 9pm. Naturally, that ended up being expensive for us.
Finally, they did not automatically refund our payment. We had to contact hotels.com ourselves to have that done.
All in all a very disappointing experience.