Never heard of it before and I suspect largely irrelevant outside of UN statistics.
As in anything in Europe these things are largely a product of history.
Those of us who grew up during the cold war talk about Western and Eastern Europe.
Within those sets there are various other deeper historical and cultural subsets and intersects, such as Scandinavia, Benelux and Balkan. Now there are newer political groupings such as EU, Schengen and Eurozone.
I expect anyone in Denmark and Scandinavia would include themselves in Western Europe where I would also include Italy and Spain. Danish people may have more in common culturally with someone from Estonia than from Spain. But it's just one of many historical intersecting and overlapping circles.
Attempts to ignore these circles and creating top down classifications in Europe, Africa, Middle East and probably elsewhere have historically not been a winning cause.
