This was maybe the hardest transition for me when I moved from London to Stockholm. In London, despite its size and what people often claim is its 'anonymity', there were always many opportunities every single day to have smalltalk with strangers: standing at the bus-stop, in line at the grocery store, looking at albums in a record shop. It really helped to soften the edge of being self-employed, and English people really relish these micro-interactions talking about the weather or jokily disparaging their political leaders.
Coming to Stockholm, the thing that shocked me - I'd even go as far as to say traumatized me to a certain extent - was that Swedish people were completely at ease pretending that others around them were invisible. This went beyond not making smalltalk, and left a deep mark on me which has never been erased. I still find it hard to cope with the erasure that I experience every single day when people behave as though you are not there at all.
A female Swedish journalist that had been a correspondent in Israel for many years and then retired back to her home in Stockholm talked about the invisibility phenomenon very eloquently in a newspaper feature which I've been unable to find online today (it was a few years ago), but she also talked about how upsetting it was, after becoming accustomed to being greeted and 'noticed' by the humans around her as a 'normal' part of her everyday experience, to suddenly disappear into nothingness.
Strangest of all, is that this isn't even a Scandinavian thing: whenever I visit Norway or especially Denmark, strangers constantly try to make smalltalk in all sorts of contexts. Then I always have to apologize for not fully understanding their language (especially the Danes), and when they hear me speaking Swedish they usually give up on me instantly - Swedes being well-known for their unsociability in those parts.
Sad to say, after 20 years I've also adjusted my own behavior to the Swedish norm, and usually find the approach of a sociable Dane with some nervous trepidation.