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Access to the Baltic does seem to easy for the Allies by either bombing down Copenhagen port below 5 strength or landing on the two canal/sea openings. Situations like a Pearl Harbor on the German surface fleet and subs and potentially capture of key cities early in the game.
Realistically access to the Allies was impossible without seizing Copenhagen or Hamburg. No Allied ships did enter.
Can there be something done to rectify this abnormality?

Yup. There was another thread on this subject recently...

https://forums.matrixgames.com/viewtopic.php?t=417525

The Kiel Canal and Copenhagen Baltic Break-in has become a well-known known exploit that would take some major redevelopment. For now I can only suggest a "house rule" with any opponents not to use these tactics. Maybe in the future the developers could implement minefields like in the World War One game to help discourage it. Of course, the problem with minefields is that they damage everybody's naval units regardless of who planted them. Perhaps some coast defense units like the ones in Normandy could be scripted to spawn at these points that could opportunity fire on passing ships.

Yes it is definitely an issue in rectifying. Maybe though to stop it done earlier before US entry the developers could create a huge decrease in US mobilisation for any allied ships, transport or amphib unit that enters the Baltic?. An easier way to at least stop early Allied incursion. Yes perhaps making keil canal and Copenhagen point naval guns that pop up the turn after German occupation via a pop up option ( with a low cost)