I too started out as Sweden but found it frustrating as a starter nation more than anything. My second going (with Austria) has been much more of a pleasant one.
They lack the manpower and funds to do much of anything, and while you can learn from playing as them, it might be wiser to choose a nation that has more resources at it's disposal so you can learn more in your session.
However, if you do play as Sweden as I did, there are a few recommendations that I have for you to avoid frustrations.
First and foremost, learn to use your ledger to gauge enemy strengths and weaknesses. Same goes for the diplomacy screen to see who is at war with whom, and who is protecting the smaller nations that you have your eyes fixed upon. If an enemy's manpower and army size is depleted and they're already at war, then it could be time to strike.
See that navy of yours? At the very minimum, disband ALL of your ships of the line, maybe with the exception of one. If you're like me, you have to have a flagship....LOL. Later on in the game, when you have plenty of funds and are ready to mobilize, you can begin building a lot of frigates (2-3 dozen or so), which at a fraction of the cost of the more expensive line ships, can be used to defend transport fleets, blockade ports for fantastic income, and most import of all, cutoff vital enemy troop movement from Denmark to Sweden. In my short time playing as Sweden, France always seemed to have Denmark's back, but it was meaningless because their method of defending them was to send troops up through Denmark (200K+ stack), where I blocked them from entering. I also gave the UK access to my lands and ports, which made an enormous difference as they were often at war with Denmark and France, and would send fleets of first rate ships to help my move my troops into Danish territory.
I would also recommend disbanding most of your troops if you plan on waiting to attack to save on income and allow you some time to buildup some manpower. At the very least, I would disband your elite troops, as they're quite costly and you really don't need them if you plan to attack Denmark first.
Research the economics, so you can take out cheaper loans, and use those funds to begin building depots in each city. This will help increase manpower and give you a solid supply base to work with.
I also highly recommend sending diplomats to Russia and possibly even Prussia on a constant basis to avoid wars with them early on. If Russia attacks you early on, good luck with that. It cost prestige, which hurts, but the last thing that you need is Russia sending hundreds of thousands of troops into undefended Swedish territories.
IIRC, I gave Russia access to my lands, which helped avoid a war.
FWIW, I found that upgrading Swedish cities was simply too costly and not worth taking out loans for. That includes city developments, ports, and forts. The increase in tax revenue is barely noticeable, and you're left with loans that you'll never be able to payoff, which can hurt your prestige in the process.
Really the only thing that Sweden has going for it in this game are her ports. She has a lot of them which are good for building up fleets of frigates. I wouldn't, however, consider Sweden a safe country from enemy threat. Russia will always have it's eyes on Finland in this campaign, and they can buildup massive armies in a heartbeat. Whenever Russia ended her wars with France and it's coalition, I always broke out in a sweat. LOL