Why should I Formalise the Daneland?

Daneland has Scandinavian culture and Scandinavian elective inheritance. Formalising the Danelaw is the cheapest way to get them if you didn't have them already.

If you didn't already own England, then you'd get de jure ownership of it. If you want the King of England to hate you for some reason, that also happens.

If you already have all of that, then all you get is some alt-historical flavour.

You will cut out the king of England, which means one less powerful vassal to worry about.

That's as if you were holding both England and Danelaw, and you get the taxes and troops from all the vassals in them without the "not my de jure liege" penalty. Further, those two kingdoms won't get separated due to inheritance shenanigans.