The migrations from Denmark to Normandy in France and to eastern England took place more or less in the same period, from around the year 800. This was several centuries before the general introduction of surnames. So I don't think it's correct to say "Many Dalbys from Denmark, centuries ago, did indeed leave Denmark and settled in France because of something to do with religion. Here they stayed for a number of generations begore migrating on to England." Even when the Norman/French William the Conqueror invaded England in 1066 surnames were a long way off except among the nobility and there was no one actually called Dalby.
However the Scandinavian migrants had earlier brought to England their language, in which the word Dalby (dal-by) meant homestead or settlement in the dale or valley. They gave the name to several locations in England and hundreds of years later it was adopted as a surname by people from those places when they found they could no longer get along with just a first name. I believe that the vast majority of people called Dalby today descend from those people.