That "the website is usable for users who use a keyboard and not a mouse" is the second requirement on Digitaliseringsstyrelsens list on web accessibility.
It's a boost to the usability of your website when you clearly indicate that a link leads out of the site or to a PDF file.
Securing websites is tricky, and it may be hard to see what you're gaining from the effort. But if your site is compromised, you risk harming both your company's reputation and ranking in search results. Updated with deprecation of Expect-CT og X XSS-Protection