It's quite simple (at least from my PoV):
1) People are concerned about several things, not only (or not at all) data retention/online privacy, but with social and economical problems (and a more complete political "project"... I do identify with PP concerns, but I have more topics of concern then the ones that PP has, and I give more importance to those concerns on my daily life... I wouldn't just cast my vote because I agree with some of the points a party makes, I would need to identify with the more importante topics, and weight the ones I disagree against what I find acceptable versus the ones I do agree).
2) In times of crisis the votes tend to be more right winged (SWE wasn't an exception).
3) Usually the European Election is used by the voters to punish the governing party in their countries.
4) And it's not only SWE. Most countries have their own "PP", in a way or another. One of those parties might endorse lower taxes, another might go against the CAP (Common Agricultural Policy), etc.. The point is, those parties aren't suppose to be taken seriously (serious in a sense that none expects they'll have an huge representation), and the ones who vote for them usually know that. People usually vote for them so there's a lobbying party for those subjects, or just to "annoy" the more "tradicional" parties, or lack of a choice that they identify with.
Most EU countries do take (the possibility of) governmental spying serious. It's in terms of perception that things differ. I can say that at least in one of the countries where the system is being put in place is actually quite safe (I work for one ISP that's rolling out a data retention system to abide the new legislation). In terms of legislation, no customer data can be cross referenced during the investigation phase (initial phase, until there's enough evidence for an indictment, and for an investigation to take place, to access the data, it needs court approval), so that protects the identity of whoever data was requested.