Max von Sydow is a professional actor, and his Swedish accent isn't really noticeable. His age (81 years) is noticeable, though.
I'm about as impressed with his lines as with Patrick Stewart's ones in Oblivion, i.e., not that much. I suppose lesser actors would have struggled even more with the overly dramatic dialogue given to them, though.
I'm not sure Nords with Swedish accents would help my immersion, it would make me think of contemporary Swedes more than Nords or Vikings. Icelandic accents would sound sufficiently foreign to me, perhaps.
You mean in the teaser trailer? I thought he sounded absolutely perfect! I'd be happy if he was doing the voice-acting for every male Nord.
I know voice-acting is a big area of contention, because everyone's coming from different locales and to their ears certain accents sound appropriate or inappropriate.
My personal gripe was with the American accents in the previous two games, they sounded too contemporary and Hollywood-standard. In fact, even Hollywood films set in pre-U.S. periods and fantasy settings tend towards a nondescript English accent (e.g. LoTR, Gladiator, etc).
American accents in fantasy make me think Xena the Warrior Princess, Adventures of Hercules and Sinbad the Sailor - all really bad cheap TV shows. Skyrim deserves a bit better than that.
Max von Sydow is certainly a staircase up.