no it is not compulsory to take holiday. And if you feel you don't need holiday, then you can skip it, and just keep receiving unemployment benefits ("dagpenge").
If you don't take a holiday before the holiday year expires on April 30, 2019, you can not receive your holiday money. Holiday-money can not be transferred to the next holiday year.
If you nevertheless decide to take holiday/get the money from your feriekonto, be aware that:
If you try to get the money from your feriekonto paid out, the A-kasse will be informed, and they will deduct the days in your unemployment benefit.
Off course the right way would be to inform the A-kasse if you decide to take holiday, because they will find out anyway.
The rules say that you must inform your Jobcenter at latest 14 days before going on holiday. The A-kasse will automatically get this information from your Jobcenter.
Anders Weber, www.a-kasser.dk