We have electric wires on poles in the northeast US, too—largely because the ground freezes solid for several months of the year.
It's not that unusual a precaution.
(Though yes, as a sibling commenter notes, we do have to deal with them getting taken down by wind, lightning, and the occasional hapless driver from time to time. There's no perfect solution.)
My guess is that it's more likely due to the cost of digging/right of way, etc. It gets significantly cold here in MN and most powerlines are underground, but we have a lot of open space.
A statistic I remember from when I lived there is that Connecticut has more trees per mile of powerline than any other state. Every time there was an ice storm, thousands of people lost power.
That very much depends on which part of Sweden you're talking about. Around most cities they are buried but in the countryside 'luftledning' - literally 'air cable', denoting cabled hung on impregnated wooden poles - is still more the norm than the exception. Where I live (about 60 km north of Göteborg) Vattenfall has been talking about burying those cables for decades but they're still there and regularly are taken down by trees, errant drivers and similar mishaps.
It's not that unusual a precaution.
(Though yes, as a sibling commenter notes, we do have to deal with them getting taken down by wind, lightning, and the occasional hapless driver from time to time. There's no perfect solution.)