Realistically, Sweden appears to have been in a position were a strong ruler could have taken them either way, and it was rather dumb luck that found Gustav I opposing the pope. Even then, the transition did falter during the Dacke War, wherein southern Sweden rebelled in favor of the Catholic rebel leader Nils Dacke, so we can assume that, had Gustav wished to remain in the church he could have done so with plenty of support.
Of course, it would make the Denmark-Sweden rivalry far more bitter if they were on opposite sides in a religious conflict, just as it did for Britain and her Catholic rivals and later Austria and Prussia. How that shifts the balance as late as the 30 Years War is anybody's guess, assuming the conflict even still exists. For all we know Sweden could be a millstone around the neck of any prospective Catholic league rather than the unexpected heroes they were for the Protestants in the war IOTL.