YES...and yes
OK...so in slightly more detail, I also found Nielsen a bit inconsequential at first, but one you get into it things do make a lot more sense. I'd suggest putting most effort into the 5th to start with, then 1st and 4th, and if that doesn't make sense then give up. There does seem to be a common "type" about 20th cent Baltic music, sort of leading on from Sibelius 4 and 6 - variations on the landscape, vast empty places, and a self-contained introversion ooze from each pore - and it may be that this is just not for you. It took quite a time for me to "get" his violin concerto, but now that's up there with my other favourites (although nowhere near the Sibelius).
You didn't say who the performers are, but I would also wonder whether the performances are doing the business. Even though I quite like Nielsen, I have to admit that his music does need a good performance to come off. Truly great music can get itself heard even through a 2nd rate rendition, but anything ordinarily good does need a sympathetic executant. For example, a year or so back I got an Opus set of JSB's Brandeburgs and Orchestral suites (from the Slovak Chamber Orch) for about £2.99 - while the Brandenburgs are still enjoyable, the Suites really don't make any impression at all. Back to Nielsen though, following a recommendation from Alanbeeb I recently picked up the Bernstein/Ormandy 4CD set of symphonies, concerti and overtures for about a tenner. The performance of the 1st is truly wonderful. The other top recco is Herbert Blomstedt/SFSO on Decca, most of which I've had for many years.
Leading on from Sibelius then Nielsen, I'm now a bit of a Baltic music addict, with pretty much full symph cycles from Holmboe, Tubin, a fair bit of Rautavaara, and odd one offs, and must get some Langaard some time (although he's extremely variable....even sometimes within the space of a few bars). From an earlier era Gade (sort of Danish Mendelssohn) seems to be getting increasing amounts of air time nowadays.
P.S. Ah looks like we have a genuine expert on the board...I don't really know anything about Nielsen's small scale stuff.