That would be the equivalent of von or van - and that doesn't exist in DK.
Never heard of anyone with a surname like: af Rosenborg, or af Thott.
Monpezat is (as I see it) a slægtsnavn, like the other noble names in DK.
A slægtsnavn is a last name passed on within a family after very specific rules. These rules stems back to the Name-law of 1526 and here it was laid out who could use what name within noble families in DK.
(A more general name-law was made in 1828, because it became common for people at that time to take a surname as a family name. Prior to that most people simply called themselves say Thomas Jenssøn after the father, Jens. Or Marie Kirstensdatter after her mother, Kirsten.)
Basically that meant that a (noble) name was passed on to sons of legal marriages only.
In contrast to many countries DK has for 500 years had a specific law regarding names.
The Danish rules for last names is here:
https://familieretshuset.dk/navne/navne/fornavn-mellemnavn-efternavn
In Danish.
Last name = efternavn.
You can only have
one last name in DK.
You can combine two last names with a hyphen.
(That would means af-Monpezat - and that makes no sense in Danish.)
If you have both your mother and your father's last names in your name, say Theodor Friis Hansen, then your father's name automatically becomes your last name, unless you drop your father's last name, and is called Theodor Friis, or you take another last name, say Persephone then it's Theodor Friis Hansen Persephone.
Or you use a hyphen then it's Theodor Friis-Hansen.
- The Danish name law is
very detailed!
There are at present some 146.668 approved last names in DK.
You cannot freely take a last name that is used by less than 2.000 persons. Unless each and everyone of them give their permission.
There is a reason why some of the nobles in the circle of friends around M&F are called Ahlefeldt-Laurvig-Bille - rather than say Michael Greve af Ahlefeldt.