Update: This seems like an error in Woocommerce.
I just created a brand new WP install, with default theme, NO addons at all.
Changed the language to Danish and tried to install Woo. Still same problem.
Tried to change the language to English and back again, not helping.
Even tried to define WPLANG, though it’s depricated.
All translations is up to date, it says.
EDIT: Also tried to change language to German, same problem.