Not necessarily in the scenario they presented. While I haven't been in Copenhagen specifically, I've been in plenty of train cars late at night (think last few trains before service closes) where I'm the only person in the car.
Just like a random onlooker could see you from the platform, someone in another car could see you in your driverless one and call emergency services. The two scenarios are very similar in the end. It's just that the train car has a higher (but far from 100%) chance that you will be noticed more quickly.
The Copenhagen Metro runs all day and all night, so it's pretty easy to find an empty or almost empty train -- near the end of a line at 3am on Tuesday should work.
The scenario certainly also works for trains in general -- perhaps even more so, since an older, manually driven train is less likely to be filled with CCTV cameras linked to a control room. (The metro has this, but it seems they're only monitored once someone presses the emergency button.)
Just like a random onlooker could see you from the platform, someone in another car could see you in your driverless one and call emergency services. The two scenarios are very similar in the end. It's just that the train car has a higher (but far from 100%) chance that you will be noticed more quickly.