Probably because Denise is not coming across as 'ditzy', sweet, or 'non threatening'. Whether she is or not, she comes across and 'lairy', confident and ambitious. Her 'fault' is that she isn't hiding it with faux humility – I actually quite like that. Because to be a celebrity and go on a reality TV program, they ALL have to be wildly ambitious and attention seeking. You don't go on a program like Strictly if you are not in it for the attention, and to be competitive. They may not all want to win, but they ALL want to make an impression and boost their careers.
Whether Kimberly really is or not, she plays the gracious humility game well, much better than Denise. I assume Kimberly is doing it to raise her profile, being one of the background members of her band.
That said, I don't really feel much for either of them. I do think the flack Denise is getting is OTT though.
Strictly has a formula, the sweet, attractive, 'kooky' girls who dance competently, go far. The quiet 'nice guys' who dance competently go far. Those who make it to the latter weeks are people who didn't make much of an impression in the first half of the series, but were good enough to not get kicked out; they normally make a big sudden improvement about 2/3 of the way through the series. Those who start off impressively, but peak too soon, or who made themselves too distinctive too early don't normally make it through all the way.