Everything in Europe west of the old Iron Curtain has been considered "The West", the Nordic countries are absolutely among them. There have been close ties to the US and UK since WW2, Norway's old prime minister is currently the NATO general secretary.

Maybe an interesting cultural curiosity, maybe not, but Riot Games had the same misconception as you and made an "EU Nordic and East" server for Scandinavians and Russians to play League of Legends together. The game got huge here, but almost all Scandinavians rejected the EUNE server and chose the "EU West" server instead. Nobody wanted to play with the Russians, including me.

This attitude extends beyond just this one game, but it's a prime example. Western Europe is a largely English-speaking region, it's why and how we can relate. Russians usually don't, with some exceptions. Either you communicate in Russian or you don't really communicate at all. We generally don't talk with Russians and don't relate to them.

Politically, in simple terms, we Northern Europeans often tend to want to pull the rest of the west farther left, but the border to Russia is a hard barrier we don't want to cross, not for any period of their political history do we want to emulate them. They are bad. They've been bad for a very long time. I don't know what's wrong with them, but they've been thoroughly fucked up for way too long. Maybe the Ukrainians can give a better analysis of the Russian psyche and culture that causes all this shit, when they get done with the current torrent of it.