How come the lion is part of the coat of arms for so many northern European countries (Sweden, Norway, Finland, Scotland, UK, Denmark) despite lions living exclusively in Africa?

While lions are not native to Northern Europe, lions did live in many N. European royal courts. Medieval elite loved collecting wild and exotic animals, and lions were at various times imported or given as diplomatic gifts by foreign rulers. Henry I had a menagerie in Woodstock (a few miles outside his palace in Oxford) where he kept lions (among other things), and his son adopted the lion for his coat of arms. James V of Scotland kept a lion in one of the courtyards in his palace at Stirling Castle.

So while lions were certainly, as /u/koredozo says, valued for their symbolic value in much the same way that dragons and gryphons were, they wouldn't have been mythical in the same way. Kings or wealthy elites who chose a lion for their coat of arms could, and did, bring real lions home and show them off.