Probate records were not created for every person who died. The probate law of 1683 stated that probates were necessary if a parent died and left children that were not of age (age 25). Often an estate was probated even if the children were of age. 

You always want to look for a Probate for your person(s)

Probates help build family groups and extend family ancestral lines. Some probates can go back further in time then parish records.

https://familysearch.org/learn/wiki/en/Denmark_Probate_Records - This websites has general word lists that occur in probates and another important information.