When George Mallory was asked, why he wanted to climb Mount Everest, he simply replied "Because it's there!' and these three words became one of the most famous catchphrases in the whole Western culture. By analogy, one might say that Nature's creations are wonders "because they ARE". Ageless caves, ever-erupting volcanoes and geysers seemingly reaching the star-studded sky - there is a sense of the ultimate about any and all of that, a vague image of perfection, something unrivaled, unparalleled. The situation is quite different when it comes to man-made objects: an equestrian statue is just a work of art, and a palace or, say, a tower are just buildings - unless they happen to be architectural masterpieces. What turns "just a statue/building" into a wonder is a story behind it - and the story behind such buildings in Copenhagen as the Observatory (aka the Round Tower), the Stock Exchange, and a number of churches and castles is essentially the same - the man on the picture.
Many rulers had nicknames. Some were known as "Greats", others as "Conquerors" - and the "greatness" of the former almost inevitably implied the achievement associated with the latter. To the best of my knowledge, untainted by Google, there was only one ruler - David who reigned in the 11th century Caucasian Kingdom of Georgia - who remained in history as "The Builder". Christian IV of Denmark would have every reason and right to share that, much rarer title. Just like Alexander the Great, he had quite a few cities named after him. Unlike the Emperor of Macedonia, Christian didn't conquer those cities - instead he built them! To be precise, he "built them", as opposed to "had them built", because not only the King commissioned the construction and paid for it but he also literally participated in the process. Quite often that monarch would come to the building sites to supervise the process (which he knew inside out) and actually lend a hand in accomplishing physical tasks. One of the cities founded by that longest-reigning monarch in the history of Scandinavia, is known today as "Oslo", but for 300 or so years it bore the name of "Christiania"...