In the prisoners dilemma, it is in both prisoners' best interest to defect, but that outcome is undesirable for both of them. In the same vein, it usually isn't in an individual's best interest to invest in their community, because they could gain more individual wealth by not sharing it with the people around them. But that is a great way to create a few very rich people and a lot of very poor communities.
So do Scandinavians pay high taxes for selfish reasons? Obviously they don't think that paying higher taxes for universal health care will make them richer than their neighbor. Say you vote to lower the tax rate and dismantle universal healthcare. Suddenly you have a few extra thousand to invest in the market each year. That move was certainly in your best interest. And then your house is foreclosed because a purely random onset of cancer cost you two hundred thousand dollars in medical bills. The definition of "best interest" has changed quite a bit.
People are really bad at making long term decisions, about themselves[0] and their community[1]. Compulsory, high, and progressive taxes certainly sound like "we know what to do with your money better than you do" and that is hard to swallow. But when you consider them in the context of game theory, it's more like "we can achieve more together than alone".
That being said, it will always depend on the trustworthiness and efficiency of the government, and that is a very difficult thing to achieve. Fortunately for the Scandinavian countries, they seem to have it pretty well figured out.
[0] http://www.forbes.com/sites/maggiemcgrath/2016/01/06/63-of-a...