Yes a united Scandinavia are a lot more powerful than Netherlands, but if power and population was what counted in the colonial race, we would have this conversion in French. In OTL Denmark-Norway had around the same population size as Netherlands from the loss of Scania in 1657* to the loss of Norway in 1814, while Sweden had around the double in the same periode. But Netherlands still ended up with a giant empire, while Denmark got a few factories, a small town in india, some slave forts and three Caribbian Isles. While Sweden got less than that. It wasn't because Denmark or Sweden didn't have large navies until the middle of 18th century they could compete with France and England in navy size. But just as the Mediterranean demand a specific kind of vessels, so does the baltic, Danish and Swedish vessel tend to have a smaller keel and have fewer cannons, than the vessels outside the Baltic, at such they was useful to use in the Baltic Sea, but was inferior on the high seas. That's a element which doesn't lend itself to naval dominance outside the Baltic. Another elemnt are the fact that Netherland was much more urbanised than Scandinavia and was centuries ahead in agricultural advancement (literal), while having one of the world highest GDPs per capita and was at the forefront of technological development. In early colonisation one of most important elements are urban population, whom can fund the expeditions and lean their expertise to them, it's no accident that the growing (relative) importance in the 18th century of Danish traders followed the explosion of Copenhagen in size.
*And before 1645 Denmark was bigger in population than Netherland and had almost completely control with the Baltic trade, which resulted in Netherlands and Sweden bitchslapping Denmark around.