If I remember correctly this isn't Scandinavian but a British obscure law which nobody takes seriously. No, Sweden has no law of the kind.
The idea that the human body is somehow shameful and should be covered has an interesting background and isn't a particularly old idea. The entire concept of "privacy" and personal space wasn't invented until the 19'th century. Hiding your body is an off-shoot of this. Why this never got a hold in Scandinavia has more to do with how poor and culturally backward we were in the 19'th century. ...when these ideas spread through Europe. Rather than us having a different value system or something like it. We got rich/educated in a very short time, and the idea of the shameful body were receding in the west before us Scandinavians joined civilisation.
Civilisation just allows us to learn loads of more things. There's nothing that says that civilised ideas are necessarily good ideas.