[EDIT] Appreciate the downvoting, but would appreciate an answer even more.
The Norwegians were occupied — for some time, but regained their independence. The Swedes stayed neutral. Why do you think aligning with Germany (and losing territories as a result) was the best option?
But in this case the media narrative is very much "this why we need everyone to join NATO/be West-aligned" whereas it's exactly the expansion of NATO that has lead to these conflicts. As much as we'd all like for everyone to do what they want, in reality you need to consider the position of your neighbours especially if they have power. For an alternative example - see how USA reacted to Cuba becoming communist aligned, very much pot calling the kettle black, no? ;)