As far as I know, this is largely a myth. Compared to most other European countries, Sweden and Scandinavia weren't really doing too bad, but when you compare the conditions in Europe to the relative freedom you could attain in the New World, many did of course decide to leave. I'm happy if you have examples to the contrary, though, or can show how Sweden was a lot worse off than, say, Preussia or other nations of that time.