The later the PoD the more improbable a Scandinavian Empire is. First National identity is too strong and not at least to many great powers have interest in no unification.
My timeline:
https://www.alternatehistory.com/discussion/showthread.php?t=143305
has a 1042 PoD, but develops much beyond Scandinavia, and probably isn't a Scandinavian Empire at all.
A more suitable PoD might be the battle of Ditmarksen in 1500. Here King Hans of Denmark (and Norway and Sweden) lost an expensive hired army, his credibility as well as his self confidence, as the army was defeated by peasants under peculiar circumstances. A more likley outcome would have been the army brutally crushing the Ditmarskers, and that might very well have consolidated the Kalmar Union at a time when the other Europan powers still couldn't intervene seriously.
Copenhagen falling in 1659 might very well have Sweden at least try to annex Denmark-Norway, but I doubt if Sweden can keep it - too many big bullies out in Europe will have different interests - and the Danes and Norwegians might not be interested either.
Regards
Steffen Redbeard