By law in Denmark all properties have a number, or rather two, the one is the street number and it must be displayed where it can be seen from the street, the other the official designation in the Land Registry. This is only used on offical documents, mainly when buying or selling property. A property can consist of more than one lot in the Land Registry so you have two or more Land Reigistry numbers.
So basically only large estates, houses built between about 1890 and 1920 and meant to show off the owners' wealth and perhaps some very old farms have names.
I don't think anyone would find it pretentious if you named a house, but they might well think it a little odd.