I don't expect too much from Midtjylland honestly. Their huge victory over Lazio shouldn't be misleading. I think it was just due to Lazio's not focusing on that match most probably. In addition to that, Lazio had their revenge on them by a 2-1 victory in Italy later on. 
Midtjylland has dramatic win in the last match on group F from Sturm which makes they qualified to playoff matches and they will faced Sporting CP on February and on the paper Sporting indeed should be able to beat them because Midtjylland not in the good shape even they cannot performing well at their domestic league but because Midtjylland has experience to beat strong team such as Lazio before i think Sporting should be carefull for this record especially during europa league matches Midtjylland quite strong at home and so far they were unbeatable for home matches Of recent opponents it was Midtjylland, Feyenord, Salarentina... Even the last match against Almeria ended with Lazio losing 2-0... With such a game they will not succeed in the Eurocups... Although they are probably one of the strongest clubs in the Conference League right now...