I think they are not political, but I'd call them a little populist. They want to appeal people who take pride of certain history.
Of course, this works a little different for Germans, because there's not much to be proud of. ;-)
This was meant as a joke, but indeed also "bad" deeds are portrayed so I don't think nationalist feelings are the only ones that play a role while listening to Sabaton's music. What they do is glorifying soldiers. Or paying tribute to the soldiers who did all those things for their countries. They don't say "Good that you beat the Russians" or "Kill those Poles". They don't take sides, they just keep paying tribute to the ones who have fallen.
On the other hand they also make songs about the plan of getting rid of the Jews. This stuff is in textbooks, and now someone sings it. That doesn't make them anti-semitic.
I am sure Perun and others know more about the lyrics, I haven't studied them well yet.
Surely they are interested in the historical subjects, but they never started out like that. They must have kept it, as soon as they knew it helped them with their popularity. I wonder how long they want to continue this. At some point they might want to do other subjects.
Maturin, can I ask a question about banning the anthem? I what way do you mean this? An anthem is done for specific occasions, e.g. football matches or other (inter)national or sport events. We don't have the anthem banned but our schools don't sing it either. It's for people at home or in stadiums who can join if they like, but why "ban an anthem at schools"? Perhaps, indeed, the nationalist climate on schools needs to be tempered in Sweden.