To be specific, here you can only use mail-in ballots as an exception if you live outside the border of Sweden, and you can only make a request to use the mail-in ballot if you visit an embassy first or use the digital identity system through one of the Swedish banks, which then operate similar to the embassy in its role in identification processing.
Naturally using less security does not mean fraud has happened in the past, but it should be relevant to the question if fraud may happen in the future. If we have factually evidence it won't happen then Sweden should change it rules to make it easier for people to vote and reduce costs to embassies. If we are uncertain, well, then the question is a fair game to ask what is good enough security and what isn't.