It will be a long travel day but it is doable. There are many trains between Harburg and Altona : just take the first S-Bahn you see = no need to wait exactly for the 14:04 train. Of course add the one you’d like to take to the app before boarding. Same between Copenhagen and Malmö.
I wouldn’t recommend the 08:25 ICE train out of Brussels : yes it has optional reservations but it is very often delayed and overcrowded. Without a reservation you may get denied boarding (very limited capacity on ICEs to Belgium). If you’d like to take it, make a reservation for the Bruxelles-Midi - Hamburg-Harburg journey for 4.90€ on bahn.com.
I’d leave early (05:56) so you have some margin and if all goes well you can spend the evening in Malmö
Please book the train between Hamburg and Copenhagen ASAP. It is very popular but luckily there are still seats on the 14:58 train on Sunday. The cheapest way is through cd.cz : 73 CK (3.10€).
About transfers : Rail Planner distinguishes S-Bahn stations and the main station (aka transfer by foot). Usually they’re the same one or next to each other (at another level maybe). Don’t worry about that, use bahn.com or DB Navigator app as more reliable planners.