The opportunity described is only common in a handful of companies in handful of cities. Outside of this it is going to be rare even in the US. Since Sweden doesn't have a large presence of these companies you are going to have to move to for example Zurich or London for it to be common. It isn't a Sweden versus US thing, it's a "achieving a high level in a major company that gives you stock" versus not. The opportunity still exists in Stockholm but requires more achievement, effort and luck because it is less common in absolute terms.

That said it sucks to work in Sweden because it's all about making money through inheritance, housing, stocks or contacts. But I guess that is how it is in many places these days.