I confess I usually type a Danish Ø for convenience when I'm
using this, though for publication I would tend to substitute
the proper ∅.
Whenever I saw the empty set symbol in printed math literature in
Germany, it closely resembled Ø; I don't think I ever saw a
struck-through circle ∅.
Yes, looking at various online previews of German math material: If you
do see ∅ in Germany, it appears as a thin struck-through 0 (zero); all
those instances of "leere Menge" I looked at just now are (consistent
with my memories) slightly thinner (!) than the number zero in the same
text/typeface, which in turn would be clearly thinner than the letter O
("oh") in the same text/typeface; the struck-through 0 would also have
typographically thicker vertical portions, despite its thinness.
Stephan