Yes, they have a problem with islamic terrorists and with Al-Qaeda, that's why I use them to show that the traditional definition of free isn't applicable. Pretty much every country in the world is "free" by their standards.
Sweden is a very small country. We can use other examples: San Marino, Portugal, Angola, Uruguai, Seyc es, Croatia, Burundi, etc. etc. I guess there aren't known threats to those countries (which doesn't mean they aren't a target) but I fail to see what does that prove.
But actually Sweden as been a target in the past: you have the well-known cartoonist story, for example, and other threats, including to Swedish companies like Ericsson, Scania, Volvo, Ikea, and Electrolux.
http://www.arabianbusiness.com/50037...from-al-qaeda-
http://www.redorbit.com/news/interna...ops/index.html
Even though Swedish foreign policy - with their opposition to the Iraq War, the use of public money to fund organizations that promote Jihadism and the willingness to give asile to radical islamists - is very probably the friendliest to Al-Qaeda in the whole Western World.
What's exactly your point?