The words that strike fear in men everywhere no matter what the language
I think this might be an exception and it is pronounced "s" instead of "sh". Search for "Raggarrock" (sometimes called "Pojkarna som busar") by Björn Rosenström on youtube and listen to the intro. He sings "Kamma bena. Vi är sena!" and you can clearly hear him also pronounce it as a "s".
This is a bit unrelated to this specific translation, but I think I've noticed a pattern. If I remember correctly "för sent" (or "försent"??) means "too late" and "för små" means "too small". I was wondering whether the placement of "för" in front of words to mean "too" is a common practice? Or do only a few words work like that?
för is one of the most multifunctional words in the Swedish language. It can actually belong to many word classes (or, there are many different 'för'), but most often it is either a preposition meaning roughly 'for', or an adverb meaning 'too'. Context will tell which one. When it's only connected to an adjective, like in Byxorna är för små 'The pants are too small', it will be an adverb meaning 'too'. If it's connected to a noun, it's a preposition: Jag betalar för boken 'I pay for the book'.
Only if it's explicitly mentioned before. Without a context, it would be taken for granted that you mean 'It is late' just like in English – i.e. it's evening or night.
A more likely explanation than yours for Den är sen would be that something is arriving late, like 'the bus is late'. But still, with no context stating it explicitly, this sentence would be interpreted as I said ten times out of ten.