Wall, a freelance journalist who was researching a story on Madsen, went missing after he took her out to sea in the 17-metre (56-foot) submarine in August.
Madsen, who is suspected of murdering Wall, has until now denied mutilating her body.
But police said there were no fractures in Wall's cranium when her severed head was found earlier this month.
After intentionally sinking his submarine early on August 11 in Koge Bay, he was picked up by a rescue vessel and told police he had dropped Wall off on land after their interview the previous evening. Madsen, 46, then told police he divided her body and threw the pieces into Koge Bay.
Madsen is now charged with murder and mutilating Wall's body. The inventor and his lawyer have maintained he did not kill her. Police said they added an additional charge of sexual assault without intercourse after finding 14 stab wounds in and around Wall's genitals.
"This explanation, of course, causes police to want to get further supplemental statements from the medical examiner, as well from the defense ministry's submarine experts", chief investigator Jens Moeller Jensen said in a statement.
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Investigators found a hard disk in Madsen's workshop that contained fetish films in which women were tortured, decapitated and burned. Mr Madsen said the hard drive was not his.
A report from the Reuters news agency of the earlier court hearing said that Madsen gave a vivid account of his story, saying: "I lose my foothold and the hatch shuts".
Wall's arms as well as her and Madsen's mobile phones are still missing and the police are now assessing if divers should continue the search for them.
Madsen is an eccentric, well-known figure in Denmark. He generated attention in 2008 with the launch of Nautilus, which was billed as the world's largest privately built submarine.
A court hearing to extend Madsen's custody had been scheduled for Tuesday, but the hearing has been cancelled as he no longer contests his detention, police said.
As a result of the latest development, police said his trial is being rescheduled.
Madsen was charged with manslaughter but pleaded not guilty.