I think for non-scandinavians, you just have to accept that this is how we do things up north. There is the principle of being public (offentlighetsprincipen). It states that, if there are no extraordinary reasons to keep government data private (such as threat to somebody's life), the data should be public. The internal revenue authority is a government body, hence it's data should be public.
Sweden, Norway, Iceland and Finland (don't know if Denmark applies this system) are all well-functioning societies. I would not be surprised if they are some of the world's most well-functioning places around (which is great for getting shit done, but not always fun and free). Ideas of what is right and wrong in other cultures (such as mainland europeans and americans wish for financial privacy) might not always apply in the culture up north. That's fine.