You are begging the question. France might have stricter rules, but didn't enforce them. German police enforced (and enforces) the rules that they have in terms of contact tracing, quarantine/isolation, indoors mask rules, regional/local lockdowns etc far more rapidly and stringently than France, Spain, UK or US. (Not as well as East Asian countries, but in European comparison the stereotype of following orders kind of works.
Also Sweden does not only have geographic proximity to Norway and Denmark, but similar holiday travel behaviour, similar wealth level and business travel pattern, similar cultural mores of proximity. A far far more even comparison than with France, say. (And yes Finland has cities, ever heard of Helsinki with 1.4m people in the metro area?)
It then makes sense to compare Sweden against all other European countries instead of just those few neighboring countries.
Meanwhile, Norway has almost twice the per-capita GDP of the other nordic countries. Finland has no large metropolitan area. Sweden has more people in elderly care. Lots of factors to consider, but geographic proximity isn't really one.