The fact that they appear successful compared to other countries in the world is a statistical artefact.

Scandinavian countries are tiny and have a very homogenous population.  Finland and Norway only have approx. 5M inhabitants.  That's a similar scale as some counties in the US.

If you are going to compare Scandinavian countries to the rest of the world you have to choose a similar granularity.

For instance, the state of Massachusetts is just as successful as Sweden by most measures.   The state of New South Wales in Australia is just as successful as Finland.

Also, because of their small size, relative isolation, and uniform culture, they were historically very community-oriented societies, even before the introduction of state socialism.  Most Scandinavians are inclined to voluntarily share their wealth even if the state didn't force them to do it.

My personal experience from visiting friends in Sweden is that quality of life is exceptional.  However there can also be dark sides to living there, in subtle ways that are hard to measure.  The degree of intrusion by the collective into your personal life can be a little disconcerting and scary, especially if your values and lifestyle diverge from the societal consensus.