Why do Hitler choose not to take Sweden in World War II?

Every country Germany invaded, they invaded for a good reason (at least in their own mind).

Poland held territory that had been German before 1918 and a substantial Germany minority. Polish territory also cut in between German East Prussia and Germany proper, something Germany resented. Poland was also invaded because they were a staunch French ally and a potentially dangerous cause of a two-front war, something Germany had bad experiences with in ww1 and wanted to avoid dealing with in the next war.

Norway was invaded to protect the iron ore trade with Sweden, to gain naval bases (especially for submarines) to make sure the German navy was not bottled up in the North Sea as it was in ww1. The Germans were worried about a potential British landing in Norway and decided they needed to be there first after the Altmark incident, where the Norwegians did nothing when a British destroyer captured the German ship Altmark (carrying British sailors captured by the pocket battleship Graf Spee) in Norwegian waters. The Germans used the Altmark incident as evidence that the Norwegians were either unwilling or unable to uphold their neutrality and invaded.

Denmark was invaded as a stepping stone to Norway, as the Germans needed the Aalborg airfield to provide air support for their landings in southern Norway.

Belgium and Luxembourg were invaded to go around the French defences in Alsace-Lorraine (primarily the Maginot line) and the Netherlands was invaded to protect the flank of that advance and to gain access to Dutch infrastructure to help supply the forces pushing through Belgium, as the lmits of the infrastructure on the Germano-Belgian border had proven a problem in ww1.

Yugoslavia was invaded when it overthrew the axis-friendly government that was about to allow the German troops into the country to cross it in order to help the Italian invasion of Greece, which was floundering - the Germans wanted to secure the Balkans and their southern flank from British influence and potential enemies before going to war with the Soviet Union and pressured Yugoslavia to join the axis and allow German troops to pass through. However, a coup overthrew the government and issued a general mobilisation of the Yugoslav army, and Germany invaded.

Greece was likewise invaded to help the Italians and secure the Balkans before the war against the Soviets.

The Soviet Union was invaded as part of the nazi's idea of a grand war between ideologies, where communism and nazism were opposites and because they considered the Soviet Union a prime area for colonisation by the "superior" aryan/germanic race over the "inferior" slavs.

Portugal, Switzerland, Turkey, Sweden and Spain had the good fortune (and/or sense) of not getting in the way of Germany and not allying with it.

That said, I will try to explain the German options for taking Sweden.

Before April 1940, the German options for taking Sweden were small. September-October 1939 they were heavily engaged in Poland and spent a lot of their reserves of fuel and ammunition there. Winter 1939-1940 was extremely hard, and the Baltic ice situation made any kind of naval operation against Sweden impossible. See here how Öresund (the waters between Malmö and Copenhagen) looked in February 1940.

The Germans did not have the naval capacity to invade Sweden, Denmark and Norway at the same time. The invasion of Norway was a huge gamble which paid off due to German audacity, the element of surprise and a lot of luck. There's no way for the Germans to invade Sweden at the same time.

A naval invasion against Sweden also faces a lot of problems - most important Swedish cities - Karlskrona (the main naval base), Stockholm, Göteborg, Norrköping that are on the coast are behind extensive archipelagos, which cannot be quickly navigated, which unlike the German landings in Norway means that the defenders will have some warning. Unlike Norway as well, Sweden has many larger industrial and population centras inland, such as Västerås, Linköping, Jönköping, Karlstad, Örebro, Östersund and so on, which cannot be taken by surprise and naval landing as the Norwegian cities were.

Please note that the Germans did not transit troops through Sweden to invade Norway and Sweden denied repeated requests from the Germans to reinforce and resupply the hard-pressed mountain troops of General Dietl in Narvik over Sweden as long as the war was going on in Norway. The last Allied troops left on the morning of the 8th of June 1940.

After the invasion of Norway and Denmark, the Germans had France to deal with, and any larger effort agains Sweden would require them to weaken or delay their attack on France and the Low Countries, which was probably deemed unacceptable.

There's a window between August 1940 and June 1941, when the majority of the Heer and parts of the Luftwaffe are not otherwise engaged and Germany could comfortably take on Sweden. This is also the time when Sweden is as compliant as possible, allowing the Germans to transport a fully armed infantry division from Norway to Finland (weapons and personell on separate trains, closely guarded by the Swedish army), to buy all the iron ore and ball bearings they want, to transport (unarmed) troops on leave from Norway and back as well as some special arms (such as heavy guns for their fortifications in Narvik) on the Swedish railway network.

After the Germans invade the Soviet Union they are again in a situation where they can take on Sweden if they really want to, but that it would require moving Heer and Luftwaffe elements from the primary front in the Soviet Union, which was probably deemed unacceptable.

Sweden ended the transit agreement allowing the Germans to move food, tobacco and medical supplies and troops on leave on the Swedish railway netwrok in August 1943 and stopped selling iron ore to the Germans in October 1944, after feeling that German defeats had weakened them and the continued re-armament of the Swedish armed forces had progressed to an extent that Sweden felt that the Germans would deem it too difficult to take on Sweden.

Until August 1943, the Germans kept the 25. Panzer-division in Norway, and its commander, Generalmajor von Schell, developed a plan to capture Sweden, called 'Fall Schweden'. The plan was mostly concieved as a way to quickly neutralise Sweden should the allies land in Norway and Sweden mobilise to support them. It called for landings against the northern Swedish Baltic coast from Finland, diversionary action on the Swedo-Finnish border and along the ore railroad between Narvik and Kiruna and attacks by 3-5 infantry divisions against the Swedish fortifications in Värmland and Bohuslän from the Oslo area. The main thrust was to be by 1-2 Panzer divisions (including the 25.) and 1-2 infantry divisions, supported by heavy tanks and pinpoint air landings from Trondheim över Östersund, to Sundsvall and south towards Uppsala and Västerås.

The Finns refused to have anything to do with the plan, and according to a source I have been unable to confirm, Mannerheim supposedly replied when inquired on Finnish participation in the plan that "be wary of the Swedes, they are as good soldiers as the Finns, but twice as many and much better equipped".

When interviewed after the war, von Schell himself said the plan was not realistic, as he never had the troops specified in the plan (only one panzer division, very little air support, no paratroopers, no divisionary forces from Finland, only 2-3 infantry divisions, no heavy tanks or heavy artillery). Swedish staff officers condiered the plan, while based on some real weaknesses in the Swedish defence, to be a pipe dream as it was mostly based on experiences against the Norwegians in April 1940 and the Swedish army was an entirely different beast compared to the Norwegian one in 1940, not even speaking of 1943.