Copenhagen Capital Region obviously have Copenhagen and everything north of Zealand. Bornholm while actually part of Copenhagen, has because of it's remote location become it's own "Region" in Couchsurfing.
Zealand or Sjælland is the rest of Zealand, including big cities Roskilde, Slagelse and Næstved, and all of Lolland-Falster.
Funen or Fyn in Danish is the middle island with Odense in the middle, Svendborg in the south and also the islands of Ærø and Langeland. (Funen is technically part of the Region South Denmark, but here we've split that region into Funen and South Jutland