When you have approved your first application, you can not change your address in Optagelse.dk. Your address is not longer updated according to the information in the Danish CPR-register, even if you are logged in with NemID or MitID.
If you change address after you have signed your first application, you can upload an attachment to Optagelse.dk under the tab 'Attachments', where you list your new address.
Please note, that the attachment must be in pdf format, and it must be linked to each of your applications by ticking the box next to each application.
Alternatively, you can contact the educational institution directly and inform them of your new address.