He is still buried at Sor although he was first buried at Vordingborg and then moved to Sor at the request of Margrethe I Picture of the sarcophagus can be seen here The tradition of burying royalty at Roskilde was only begun some time after the death of Margrethe and according to this source her corpes was moved to Roskilde almost with force and against the will of the monks at Sor So I guess they didn t want to try it again with the body of Valdemar although this is a guess as I haven t been able to find any sources providing a direct answer to your question