There are many pros and cons, but from a Swedish perspective, one of the obvious "downsides" would be an end to the idea of Swedish neutrality, which has been a thing since the early 1800's. This may be a hard thing to relate to if you're not a Swede, but if you imagine any political tradition in your country that's over 200 years old, you may understand that the idea of changing it generates some reluctance. I would argue that Sweden is a constitutional monarchy to this day for the same reason, most people simply do not like change unless it's obviously necessary, and Russia may have just given people in Sweden that sense of necessity.