The main issue would be that Scandinavia was far too poor to afford this kind of thing. I also doubt that the cumbersome phalanx would've appealed to the Vikings in that age, they used the shield wall which was good enough and much more practical for such purposes, all you needed was a big shield, spear and some mates nearby and you had a shield wall while still retaining the flexibility of a normal soldier.
Again, Scandinavia would never be able to afford such heavy cavalry units, especially not in any significant amounts - and then there's the non-existance of any decent central authority to support either the cataphracts or the phalanxes. By the time Scandinavian countries developed decent central authorities, cataphracts and phalanxes were antiquated, Swiss pikemen were effective for a time but turned into fodder for the increasing amounts of gunpowder.
I'd say that you'd need a kind of state structure that just didn't exist in Denmark at the time. And of course whatever you'd come up with wouldn't have mattered against us Swedes
