As gerrit notes, swimming in lakes is common in Scandinavia, and there's not a lot of fauna in them that could even potentially be harmful.
Some lakes in southern Sweden apparently do have leeches, which can attach themselves to exposed human skin or, in some cases, to the insides of body cavities. If you were planning to swim in a leech-infested lake (a questionable choice to begin with), I would suggest using swimwear and keeping your head out of the water just in case. Fortunately (for swimmers), leech populations in Scandinavia have declined dramatically over the last century, mainly due to changes in agricultural practices, to the point where they're nowadays all but extinct in Finland and northern Sweden, and fairly rare even in the south.
The only other aquatic animals I can think of in Scandinavia that might be harmful to swimmers are pikes, which do occasionally bite humans (usually in the foot), mistaking them for prey. Swimwear won't help you with that, but fortunately it's also a very rare occurrence, and in any case rarely if ever causes any permanent damage.
The same goes for other potentially dangerous wildlife that you might occasionally find in or on lakes, such as angry waterfowl defending their young. For those, the best defense is basic common sense: don't get between a baby swan and its mom, don't climb on rocks full of seagull nests, and if something hisses or screeches at you, take the hint and leave it alone.
That said, there is at least one somewhat dangerous animal that you should watch out for when going naked outdoors in Scandinavia, although it's not found in water but on dry land: ticks, whose bites can spread Lyme disease and tick-borne encephalitis. Fortunately, the infection risk is fairly small if the tick is prompty removed, and going swimming presents a good occasion to check your body for any unwanted hitch-hikers that might have attached themselves during the day.