Well I mean you've already answered the question yourself, to an extent: Clearly some Norse gods did. Ebbe Schön is certainly no bad source, being Sweden's most renowned living folklorist. (I know I've read that book at least in part too, although I don't have it at hand)

In a way you could say that almost everything you've heard about Norse gods is 'later folklore'. The Eddas are stories about these gods (in name at least), but it's not religious scripture, it's stories that were told and retold for entertainment. They were written down in 13th century Iceland, which'd been Christian for 200 years by that time. Snorri Sturluson was by no means a pagan, certainly didn't consider himself one, and most likely never knew anyone who was either. Some of the stories in Snorri's Edda and especially ones in later manuscripts may have been composed in the Christian period; the tradition of inventing stories around these gods (who - in the euhemerism Scandinavian historians like Snorri and Saxo Grammaticus engaged in, were not gods but powerful kings of old whose reputations had been greatly exaggerated). In fact, continuing this tradition of skaldic poetry was the main point of Snorri writing his Edda; hence why the main part of the Edda Skáldskaparmál (the language of the skald-creator).

Snorri's intent was not to document the actual pagan religion, and in fact the Eddas and Sagas generally only have passing references to practices and no real detail about them. You know that blót were sacrifices and they were performed as an exchange to ask something from the gods, but there's nothing in there that explains in concrete terms how they were actually performed. (So to Odin's question in Hávamál: Veistu, hvé blóta skal? - Knowest thou, how to sacrifice? I'd have to answer Nei)

Now one has to be careful not to project present-day values onto the situation at conversion. Today one would commonly consider all supernatural beliefs to be a matter of faith and thus part of religion; but that's not how they would've viewed things at the time. Christianity holds that there is only one god and that's god, and you shall worship no other false gods. It doesn't say trolls, elves and giants and such didn't exist. On the contrary one could easily include such beliefs in a Christian framework; the biblical nephilim were giants. The Leviathan and Midgard Serpent could be equated (and in an 12th century gloss were equated). Both trolls and the midgardzorm were mentioned as being in league with the devil in the Scandinavian Christian apocrypha Nidrstigningar Saga. It's no surprise beliefs in such things continued (and continued to morph) as time went on.

There are few preserved texts of definite pagan religious character like amulets. A few of them continued in the Christian era. Some perhaps because they had no specific association to the pagan gods; writing the Futhark in order seems to have been used as a protective spell. (although probably not as often as the esoterically-minded runologists of the 19th and early 20th century would have it - some futharks were no doubt written just to practice or teach the alphabet!) This was continued in the Christian era and even in explicitly Christian contexts such as the runic inscription on the Älgarås Church bell from the 1200s. (protective formulae being not-uncommon on church bells of that period). But this usage was also extended to the Latin alphabet, for instance on the tympanum of Forshem church (1100s, inscription highlighted in that photo - credit to Anna Blennow). Although viking-romantics, neopagans and such are wont to portray runes as inherently magical and mystical, this is doubted by a lot of scholars. (e.g. Henrik Williams) If they were, it's not clear whether they were considered such any more so than Latin letters.

Where practices that invoked actual gods survived, they may have been substituted for the Jesus, the Virgin Mary or saints. The Merseburg charm is an invocation/magic formula that explicitly mentions several Germanic gods originally (including the otherwise-unknown Sinthgunt) and it is recorded in several places in Scandinavia as late as the 19th century but also earlier, but where the god mentions have variously been replaced with e.g. Jesus or Saint Olaf.

In the few places where actual invocations of Odin or other gods occur in Scandinavian sources in the late Middle Ages or later, it's effectively as a by-name for the devil. E.g. in the 1490s Stockholm a fellow was sentenced to death for stealing from the church and claimed he'd promised his soul to 'the devil Oden'. But there's no record of selling one's soul being a concept in old Norse religion, and this is merely an example of Odin being used as a byword for the devil in an otherwise Christian context. (Similarly, an even later renaissance black magic book from Iceland mentions Odin, Satan and Beelzebub together) What you don't have by this period is people admitting to performing a blót, utilizing a ví, harg or hof, of carving or utilizing "wooden men" (idols) or other such known practical aspects of the cult.; i.e. no evidence of actual continued pagan cult. The actual cult died out in the 12th century (if not earlier, depending on which part of Scandinavia you were in).

But stories about the pagan gods did persist and morph, and a number of instances were recorded in the 19th century. Thor's hammer-retrieval story is for instance one that persisted a fairly long time (and may have been composed late as well). Thor, as a personification of thunder (literally synonymous with it) lived on in particular. Belief in trolls and so on lived on, as said. Certain taboos lived on, such as against killing horses (a job relegated to the ritually impure rackare in Sweden; who also had to clean up executions sites and such)

While some folklore continued, there was little or no folklore surrounding certain gods like Ullr, who seem to have been forgotten, despite fairly objective evidence in the form of place names indicating the actual cult of those gods having been widespread (there are many sacred place names for Ullr, e.g. Ullunda, Ullevi, Ulleråker). Which brings up another point: The popularity of gods in folklore probably doesn't reflect their original religious importance. Loki was an important story figure but there's no evidence so far of any actual cult to Loki. Ullr had a cult but almost no folklore is recorded around him. There's a little but far from as much as one would expect from the Eddas indicating cults of Heimdallr and Baldr.

As said, the actual pagan religion - as far as veneration of the gods is concerned - did not live past the 12th century. However, some of the 19th century's romantic and nationalists did try to interpret such folklore as evidence of it. In the Swedish case you had particularly Gunnar Olof Hyltén-Cavallius, who sought to prove that paganism had lived on in his home region of Värend in Småland until the modern age, using such stories but also reinterpreting others to 'actually' be about pagan gods, taking witch-hunt proceedings literally and inferring they were also 'actually' about paganism and so on. (it's a pity really because what genuine original folklore research is in there is now impossible to separate from the interpretation he foisted onto it) In the logic of the era, being more pagan means they were in a sense the most Swedish of Swedes since pre-Christian beliefs had now become a matter of national identity. (possibly much more so than to the people who'd actually held those beliefs)

Mind you, mythological stories about pre-Christian deities was not relegated to folklore alone. In the Middle Ages, Ovid's Metamorphoses containing Roman mythology, was a very popular work among the literate classes. Interest in classical myths would if anything intensify in the Renaissance era. And to a limited extent so did interest in Norse mythology in the 17th century; Greco-Roman myths had higher prestige in Scandinavia though.

In fact they may have always had higher prestige. Old Norse religion had been influenced by Greco-Roman mythology since at least the Roman Iron Age, and Snorri may have been in a sense continuing this tradition when he, in his writings, also sought to directly bring the Norse pantheon into a Greco-Roman context. (e.g. Hector = Thor) But from a greater Scandinavian point of view, Snorri's program to keep the skaldic tradition going and raise the status of the mythology failed and nowhere more so than in Sweden, where comparatively little was written in the Middle Ages that wasn't in Latin, and basically all fiction written in Old Swedish is translations of foreign, mainly German, works. (unless you consider the Eric Chronicle to be fiction; which wouldn't be entirely off-base..)