I don't live in Denmark, so I'm not aware of the privacy and mail laws there. In America, it would be illegal for them to check your mail. However, it might be different in Denmark. I wouldn't advise it if your country doesn't have any laws about opening someone's mail.
You also want to go with a reputable seed dealer. Not only do you want to make sure that they are in fact selling you seeds and are not cops, you want to make sure that they are discreet, private, affordable and efficient.
There is a list of trusted seed banks if you go to the top and click 'seeds'. Or you can simply ask about one on this site.