Interesting. And on the other hand:
http://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX:42000A0922(08)&from=ENArticle 5
1. The provisions of this Agreement shall not apply to the Faeroe Islands or to Greenland.
2. Taking into account the fact that the Faeroe Islands and Greenland apply the provisions on the movement of persons laid down within the framework of the Nordic Passport Union, persons travelling between the Faeroe Islands or Greenland, of the one part, and the States parties to the 1990 Convention and the Cooperation Agreement with the Republic of Iceland and the Kingdom of Norway, of the other part, shall not be subject to border checks.
If it's still the case, then it will be quite easy visiting Greenland. Which could be however still illegal (unless Dannish embassy confirms otherwise).