What others have said:
you need a car, otherwise it's a bus/hired bike to the train to get into town
the single rooms get hot, and with no a/c, the only ventilation is the door onto the courtyard shared by 10 other rooms
BUT the place has an amazing gym, the included breakfast is very substantial (leave time to try everything on offer, remembering it's only available 6-9am weekdays), and the whole facility feels brand new, is wonderfully quiet and spacious, and there's lots of free parking, with a very easy 20 minute drive right into downtown.
Great value for Copenhagen - I'm glad I stayed out where 'real people' live and spent what I saved on car rental to explore Møn and get away from the tourists in the capital