My only concern with Mullvad is that, as their profile and reputation increase, they become a bigger target. That’s mostly a vote of confidence, though the concern is a real one.
Perhaps a Swede can chime in, but I'd imagine Sweden has a lax regulatory approach, e.g. compare the fates of PRQ and Megaupload. It's, admittedly inexplicably, concerning that we've driven people to foreign companies (from American ones) due to government surveillance. It begs the question: under what conditions would a consumer be fine ceding privacy? Transparency? Remuneration?
AIUI, Bahnhof and other VPN providers stay in the clear by avoiding storage of data in the first place. They can be compelled to hand over any data they have, but not to log any additional data. (ISPs etc are forced to log more data IIRC.)
At least there's nothing like the Australian laws for forcing and gagging developers.