I'm not sure on De Gea myself, but come on, you're saying De Gea wasn't proven because he's playing in Spain compared to Lindegaard who plays in Norwegian league??
Besides, we have VDS as mentor, i'm sure anything technical he can teach a trick or two, but these reflex, instict, and most of all confidence is the few quality our keepers have been lack of for a while.
Look at Forster, Howard for example, they have no problem playing for lesser teams, they're not buffon but they're doing the job, and if not for VDS we could snatch them based on their performance with their respective club.
It's mentality, more than technical imo. At least De Gea is proven on that department.
Many Norwegian teams play like Stoke, Wolves, Newcastle etcetera with crosses and target men in the box. You see far less of that in Spain. Only time can tell how good Lindegaard is. All I can say is that Lindegaard was too good for Norway. One simply cannot know if he can be a top man in England before he gets the chance to prove himself. There is simply no data on how good Lindegaard is, he has to get tested. He can be a great like Thordstvedt whom went on to be world class or he can be a fluke like Arason whom bareley got a chance... There is no way to know the answer.
But signing the biggest players rarely gives the best results. Real Madrid is prove of that, they should be far more successful the past 20 years than they have been if that was the case. Being great in Spain, is not the same as being great in England. For example Kanouté and Forlan struggled in England, but has both been awesome in Spain.