The Danish study in the Annals of Internal Medicine did not test what has been identified as the major benefit of mask wearing, which is to prevent the infected person from infecting others. It has been reported from early on that masks are primarily to prevent the spread from the mask wearers to others, with a possible small reduction in infection rates to the wearer. The nature of the Danish research is preliminary. Controls were the best they could impose and adherence to test protocols by participants was marginal.
While it is great to drill into this stuff, you have to realize that the folks that really understand the whole body of literature (rather than what you can easily get access to on the internet), in addition to, in-work research projects and clinical trials, are folks at organizations like the CDC. Our knowledge is going to expand over time, but that is what it takes to figure out something like this. In the meantime, we have to decide whether we are going to follow CDC direction, because masks might work, or try hard to find a justification for not following CDC guidance, because we don't want to wear masks.
In science it is body of work that counts. There are frequently competing theories. Making definitive conclusions before the research converges to a common understanding can be a problem. That is why this is a risk mitigation as well as a scientific issue, which is core to the field of public health management. You have to weigh the risk of what happens if you are wrong. If you don't wear a mask and you are wrong, then it is likely more people get sick and die. If you wear a mask and you are wrong, then harm to you and others is likely very small or nothing (acknowledging that a small number of folks may have legitimate medical issues with a mask and will require reasonable accommodations).