...and that threat is really "and take my banking empire with me; and while I can't run it the way I run it anywhere else, the poor mountain valley it's based in, and which is profitting quite handsomely from it, will probably go back to starving". It's not as if the family has any sort of biographical (genetic, say) ties to the place - until a century ago they never even visited.
Neither does the current Swedish monarchy for their country - the first guy in their dynasty was a French soldier elected when the old line died out.
The Swedish monarchy does not make Sweden's laws.