As a person who has spent his professional career developing games all over the world, I would say that part of it is that there are fewer competing industries drawing away talent in Sweden. Games are one of thoese things you can do almost anywhere if you can get the right art, design and tech talent together. In the US you have a strong film and television industry, a lot of tech companies and start ups, driving up the demand for talent. In Sweden you have less of that.
The tech industry might not be big in comparison to the US, but per capita I would think it is. Sweden's prosperity was built largely on technology, engineering, natural resources and heavy industry. The economy is pretty diversified now, with large fashion, design and bio-medical industries as well. In general, just like you say, the entertainment industries and financial industries are much smaller.
My guess for why there are so many game developers in Sweden: people are free to pursue whatever they want, without much financial pressures. People don't rush through college, because there's no tuition. They're not as pressured to go into high-paying industries because they have less debt to pay off. That combined with early access to computers and internet creates an environment where people pursue their passions, for better or worse.
