Yeah, the Kalmar Union is the one debatable exception.

You can either view it as Sweden being ruled by Denmark, or a EU style union between equals, in which case 1523 is more of a Brexit situation.

There are decent arguments on both side. I lean towards the latter view.

Instituting a National Day in to remember it is more a modern way to try to keep up with the neighbors. All other countries have a national day, so we should get one too, even though we're not really sure what to do with it :)