Do many (if any) cycle-rail-cycle commuters have 2 bikes, one living at either end of the train leg (so one staying overnight at their closest to work station), and never actually take a bike on the train!? Just occurred to me as an option...!
Lots of cycle stores look pretty safe to me these days with CCTV and even card key / PIN locks.
It does vary - and also depends on whether you work at the same location every day! I currently have bikes in multiple locations, as I tend to go for the "looks like a bit of a clunker" security method, buying up old minimal-maintenance (i.e. Dutch) second hand bikes to leave at stations. However, when I was visiting multiple customer sites, the ability to take a bike out there (against the flow, generally) was very much appreciated.
However, if you have any distance over, say, 5 miles at either end, you're going to want a better bike than that - and not one I'd leave at most stations in the UK.
I do also regularly work in Copenhagen. The received wisdom there is that the station is the one place that you *never* leave your bike, as there's a (slightly exaggerated but existent) culture that if you're drunk and headed home, you just nick the nearest bike from the station and go back that way.
However... The S-Tog system is designed to carry bikes right through the rush hour, with some lines even having designated bike-only carriages. And, given people cycle all year round, taxis are pretty much guaranteed to have a bike rack on board, in case it's just torrential/snowy enough for you not to want to ride home. The only restriction on the S-Tog is that you're not allowed to use the busy and space-limited Norreport station during peak hours - which isn't hard to get round.