Daan,
no, you do not need separate CAN module.
but let´s make clear this
The siemens PLC CAN port, what protocol works with exactly? from what I have seen most industrial PLC´s that work with CAN use CANopen so that you got a Master-slave communication.
so it sounds you are familiar with CANopen since you have communicated with 2 siemens PLC using the CAN protocol.
the Danfoss controller does not have a preoloaded mapping for the COB ID´s as per CAN open, you have to do that, you have to create all the CANopen functions by using the Danfoss Function blocks. that is what I am trying to say in case you are not aware of that.
hopefully I made myself clear
Regards