The march that you mention (' King Frederick Ninth') it doesn't figure in
the Danish composer's Carl Neilsen catalog:

   http://members.aol.com/dmlovelock/nielsen_fog.htm

But I have another doubt, is the work 'Helios' of Nielsen, 1923, only an
overtura or did he carry out a complete opera?

Other Operas:

- Saul og David, ' Saul and David', (1898-1901). it Operates in four acts,
libretto by E. Christiansen after the First and Second Books of Samuel.

- Maskerade, ' Masquerade', (1904-06). Comic operates in three acts,
libretto by V. Andersen after the play by Holberg.

[You can find many pictures in http://www.mic.dk/nielsen]

Best regards,

Alberto Cobo
www.superopera.com