Sweden isn't cherry picked because there are only a handful of regions that chose not to lock down and the relevant argument is about the impact of locking down or not. Therefore looking at it specifically follows naturally from the question being investigated.
The converse, attempting to argue that Sweden suffered harshly by looking only at physical neighbours, doesn't follow naturally from any scientific question anyone is actually raising. For that comparison to be useful you'd need a theory of the form, "Nordic peoples are genetically superior to other peoples in ways that makes them naturally resistant to COVID, and thus whilst original models neglected that factor, Nordic Exceptionalism means Sweden should have been identical to Norway and they weren't therefore their decision was a bad one". But obviously such an argument would be nonsense and nobody is claiming that - just implying it.
It's irrelevant for another reason: Sweden only looks like it did "badly" compared to Norway when using percentages. If you look at it in terms of absolute change in excess death, it's small, and depending on how you calculate, you can actually argue COVID had no effect on excess death in Sweden ([1] has an example of such calculations). The impact on Sweden of not locking down, even if you ascribe all differences between these arbitrarily chosen countries to that, is so tiny that it cannot justify the costs of the policy.
At any rate, if you like there are other examples and they all support the same argument. For example, in the USA Florida is a reasonable choice. They released their restrictions relatively early without disaster. Or South Dakota (=identical curves to North Dakota despite very different levels of restrictions), or the recent example of Texas unlocking, or Belarus.
Sweden is a popular choice because it's a very clear counter-example that's been widely discussed in Europe, and because - as I already noted - no model predictions or epidemiological theories make any exceptions for Sweden or Nordic countries. In fact modellers predicted specifically that Sweden would have had 90,000 deaths from COVID by May, but in fact they had about 98,000 deaths in total from all causes by the end of the year. It's therefore sufficient by itself to disprove the models.
[1] https://softwaredevelopmentperestroika.wordpress.com/2021/01...