If you click at the text with "Endowments . . ." you get this explanation:http://www.familysearch.org/eng/library/fhlcatalog/supermainframeset.asp?display=titledetails&titleno=80276&disp=Endowments+for+the+dead%2C+1877%2D1970%3
And here is a text about an Endowment House:http://en.wikipedia.org/wiki/Endowment_House
And another one:http://www.ldschurchtemples.com/endowment/
I am not sure that you can conclude that Johanne Caroline Jensen emigrated as a mormon. It could be a user of FS who has updated her birth date in the database.
You could contact one of the Mormon Genealogy Centers here in Denmark. See this list: http://www.mormon.dk/?mod=slaegtshistoriske_centre
In the centers they have microfiches with the Danes who emigrated as mormons, ordered alphabetically.
In one of the centers you could also order that film, no. 471966, where you have found the info about Johanne.
I assume that you have checked the Departure List of the Parish where Johanne gave birth to her son?