Conservative is relative. Germany is a lot more conservative than Denmark, for instance. And many areas in the USA are about 100x more conservative than an average German.
I also don't think "scandinavian" works very well on the fine details. They are too different if you compare e. g. Denmark Sweden Finland Norway. They may be closer to one another than, say, spain or germany, but there are so many differences that the term liberal-Scandi is just too strange. With the same argument you can ask why the judicial system in Sweden prosecuted Assange. I am pretty certain this would have been much harder to do in Denmark or Norway or Finland. Are swedes thus more conservative?