Regardless of who eventually wins WW1, I think Sweden joining the CP would radically change Scandinavia and how Scandinavians think about themselves. This would have effectively ended the tradition of Scandinavian neutralism, and perhaps almost as likely, might have slowed the trend of scandinavian democracy. Sweden's entry into the Great War might have created a domino effect leading to Norway's and Denmark's entry as well.
If Sweden and the other Central Powers eventually win the war, it would not be surprising to see Sweden occupy (are at least assert hegemony over) Finland - and possibly even the Baltic States. Being linked to the victorious autocracies of Germany and AH, the Swedish royal family and nobility - and even people - might be less interested in progressing along the damocratic path. Like in Wilhemine Germany, a social welfare state may have arisin without the socialism.
If they lose the war, the victorious allies might punish Sweden by partitioning the country. Skane might be given its independence, and portions of Swedish lapland given to Finland (or Russia, perhaps, if Lenin's revolution get's butterflied away). Swedes would be revisionist and attracted to fascist or communist extremism. In this scenario, when and if WW2 comes, Scandinavia would probably automatically be aligned in one way or another with the Allies and Axis. These countries might enter the war in 1939. They would be devastated, invaded, bombed, and when the war is over and - assuming the OTL allies win, partitioned by the iron curtain along with the rest of Europe.