Speak The Speech

When I saw the Norwegian film Headhunters I was impressed with star Nikolaj Coster-Waldau--not so much with his performance as the realization that he's Scandinavian.  Like millions, I knew him as Jaime Lannister on Game Of Thrones, and had assumed from his accent he was British.

I recently saw him as a guest on Jimmy Kimmel Live! (The show is taped.  Why the title?) The weird thing was when he spoke--in English, of course--he had a distinct Danish accent.  I know from GOT he's capable of speaking English with the accent of a native.  Why wouldn't he choose to speak English that way all the time?

For that matter, is it even a choice? Why didn't he learn to speak English in such a way that he'd naturally sound British whenever he spoke? (Or American, depending on his teacher.) Is it that much harder for him to speak English with a "correct" accent than with what must be a "natural" Danish accent?