Believe me, we joke about our voting as much as the Balkan voting and so on.
I'm not impressed by our songs (and I think it's terrible this year). I think I've liked 2 of the last 10 Danish entries (Rasmussen and Emmelie de Forest). Think it would be about the same number from Norway, Finland and Iceland. Sweden has had a slightly higher succes rate, but I'm personally not a big fan of the kind of songs that win Melodifestivalen at the moment (I liked the Mamas, but not really John Lundvik and the 2 before him. Tusse isn't terrible, but nothing close to the former greats of Sweden).
I'm by all means not voting for any Scandinavian songs, but I know that both the Swedish and Norwegian songs have an appeal to other Nordic people (possibly Iceland as well).
It's after all about more than just being neighbours. Denmark has a musical culture much closer to Sweden and Norway than Serbia or Croatia and vice versa. It's a matter of taste more than anything else.
That's quite a claim.