I agree that the service frequency should be increased, but even NYC subway switches to every ~20 mins between trains ~12am-5am weekdays and the same schedule on almost every line on weekends. Some lines are better than others with standard 4-6 minute intervals all the way up until 1am on weekends.
Copenhagen is a little better with 20 mins between trains 12am-6am weekdays and 7-15 minutes between trains during the same periods on weekends.
The thing about Copenhagen is that it is not a great comparison: their metro is simpler (two lines) with driverless trains, and Copenhagen is a tiny city, and definitely smaller than the area served by the PATH (JC, Hoboken, Harrison, NWK, plus the areas in Manhattan) so their 20-minute span is appropriate for their needs. Also, the Copenhagen demographics are very different, with lots (most?) people commuting or getting around by bike. During my time there, seemingly everyone had a bike, and rode everywhere with it. It was not at all uncommon to see people leaving a bar and jump on a bike, or women clad in dresses leaving work, or events.
Just to confirm my observations, I took a quick look in Wikipedia and according to the figures cited there, the Copenhagen annual ridership is 61 MM, while the PATH is 25% higher, at 76.5 MM. We should totally have more service in the late evening hours.