After Russia built St Petersburg, why didn't they go on to annex towns along the Strait of Denmark to built forts, thereby securing access to the North Sea?

St Petersburg, a city founded deep inside the Baltic sea. The strait of Denmark, the open sea between Iceland and Greenland.

I am guessing that you actually mean along the coast of the Baltic sea? That area was controlled by many different powers and that wasn't as easy to just grab. Even st Petersburg wasn't an easy task to do.