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According to the Swedish government:
In general, the import of meat and dairy products to Sweden from non-EU countries is not allowed. Exceptions are made if you import food from Andorra, Liechtenstein, Norway, San Marino or Switzerland.
The following foodstuffs can be imported without restriction:
- Bread, biscuits, chocolate and sweets, unless mixed with or filled with meat products
- ...
For more detailed information contact the Swedish Board of Agriculture (Jordbruksverket) or Swedish Customs.
So if your sweets contain some dairy in them (e.g., milk chocolate or an enriched dough), you should be okay, but not if they contain meat. You can contact the agencies linked above if you still have a question, or present your goods for inspection at the "something to declare" (red) customs channel upon arrival for an official opinion. I do not know Sweden's policies specifically, but in most countries, if you are up front about it but the goods are not allowed (and are not something truly illegal like narcotics), it is likely that they would be seized and destroyed but you would face no further trouble.