You mean Svenska Kraftnät (SVK) instead of Vattenfall, they're the ones making money from electricity distribution. Vattenfall is an electricity producer, it's not responsible for this kind of distribution across borders. It is responsible for some distribution within Sweden (regionnät), but there it is not the only player. SVK on the other hand is 100% owned by the state.
That sounds strange, when there's a shortage of power, don't the higher electricity prices go mostly to the energy producers, in order to create incentive to increase production and start up more expensive generation forms?