The Nordic countries are not, in my view, easy to rank compared to each other. They all have vices and virtues.
Denmark is generally more continental and thus liberal in certain ways. For example the attitudes to public sex, prostitution and drugs is much more lax in Denmark. With this comes also a somewhat more sexist society, at least such is my impression.
Norway has its oil which sets it apart.
Finland has very low immigration rates historically which makes it much more homogenous than Sweden or Denmark. They also have persistently high unemployment, something rarely mentioned. Their education system is undoubtedly very good. Politically Finland is very consensus-oriented. You may like this for its pragmatism, but there is also an old-boys aspect to Finnish politics (not in the gender sense here, but merely as a form of smoke-filled rooms way of doing politics).
This is not really answering the question just pointing out that the Nordic countries do display some differences.
I think there is considerable path-dependency involved, if one takes a game theoretical approach to it.
