I am new to Nielsen, which is why I made a minimal investment in the Brilliant Classics set. I've had good luck with some of their other sets by Henze, and Debussy.
But I haven't listened to the Nielsen set yet. i'm not really a late romantic symphony fan, but I thought I'd give him a try. I'm more a fan of modern symphonies by Honegger, Hartmann, Schnittke, Lutoslawski, William Schuman, and the Finnish composer Aulis Sallinen. I've gotten a lot of mileage out of Sallinen's symphonies and concertos box on the CPO label.