In medieval Castile it was of paramount importance to be knighted, in fact it was mandatory for kings to be knights, as clearly established in the famous legal code of the Siete Partidas (Seven Part Code) by king Alfonso X the Wise. There, in the Second Part, Title XXI, Law XI, we see the following:

Law. On who has the power to make knights or not.

Knights cannot be made by the hand of a man who is not a knight. [...] Nobody can be a knight from the hand who a knight is not. [...] And so cherished was the order of the chivalry by the ancients, that they held that not the emperors, nor the kings, can be consecrated or crowned until they are knights. And further they said that no-one can make himself a knight no matter how much honour he has. And for this, it is necessary that there are two persons in chivalry, he who receives and he who gives.

Of course, for receiving the knighthood there is a whole ritual, also clearly specified in the Siete Partidas, Part II, Title XXI, Law XIV. I will skip the ceremonial of receiving the spurs and the sword, as it very protocollary, but the interesting part is the oath that a knight had to swear, which was tri-partite and encapsulates the whole concept of why a king needed to be knighted:

For they have to received such an honoured and noble thing, it is not lawful they be indiduced with shame or fear. And after he had received the sword shall he unsheath it and place it in his right hand, and make the oath of these three things. First, that he shall not fear dying for his Law, if need be. Second, for his natural lord. And third, for his land. And having this been sword, shall he give a sword thrust.

Of course, this whole ritualistic thing resulted in a problem. Who could have enough honour to actually honour a prince or a king? Let us not forget that kigns ruled by divine right, so it would be absolutely inappropriate to think someone would be so honoured as to be more honoured than someone with God's own approval and the Church's sanction.

Well, this problem was fixed by Alfonso XI in the 14th century. Prior to that, and against the very legal concept of the Siete Partidas, the kings invested themselves with the honour of chivalry, but had the oath administered by a bishop, complete with the confirmation slap (so that they don't forget the oath) and the accolade. King Alfonso XI commissioned an articulated statue of Saint James the Apostle that would administer the slap and the accolade. This wooden statue survives to this day in the Royal Monastery of Las Huelgas, in the city of Burgos, the head of Castile. You can see the statue in this picture.

Back to the oath, one can see the importance of it, and why a king would be dishonoured if he was not knighted and hence had not sworn it. A king not willing to risk his life for his laws and for his land was a coward and a man devoid of any honoured, and hence not a legitimate king.

The same can be applied to the lords: if they are not willing to risk their lives for their natural lord, id est the king, then they are not to be trusted with one of the key elements of feudalism, the duty of assistance to their superior. The feudal relationship was one of reciprocity, and failing to fulfill one's duties would break the feudal bond. One such example of a bond being broken can be found in the late 10th century, with the count of Barcelona. In the year 985, Al Mansur attacked and sacked Barcelona. After this, the count asked for the Frankish king's assistance, as the king of Francia was his overlord and he had the duty to protect his underling. The Frankish king did not do his duty, so the count considered the vassalage bond broken. When the next king asked his vassals to be gathered to assist him in the year 988, the count of Barcelona refused, as the Frank king was no lord of his, for the king had not protected him in his hour of need.

Since the practice enormously over time and place and it so happened I literally the other day fell over a description of it in a book about Erik of Pomerania (first king of all 3 Scandinavian kingdoms and what is later called the Kalmar Union) in the 1300s-1400s. Being a knight was the absolute pinnacle of nobility and only nobles would be knighted. Being a knight was a requirement if you wanted to be eligible for elevation to the king's council, the 1%:ers of the 1% (bishops being an exception). Being a member of the king's council, riksråd, wasn't just a "job" it to some degree existed as separate class of nobility. Often they gained, or sought, control of the important castle fiefs that formed the practical means of control of the nation and it's income. Much of the turbulence during the Swedish mediaeval period came from this constant bone of contention between kings and high nobility.

At the coronation of king Erik in 1397 an unprecedented 133 knights were dubbed. One reason for this is that Erik did not come to the thrones easily. It was his grandmother's sister queen Margareta, who had by vagaries of fate and then leveraging her own skill made herself accepted as (effectively) reigning queen, in the role as guardian of her son, of all three Scandinavian kingdoms and after he died of illness in her own right. Sweden still had a king though, Albrecht of Mecklenburg. He had made himself unpopular among the grandees though, (see point about who should control the castle fiefs), a fact Margareta managed to exploit, long story short she won (though total peace and tranquillity remained elusive) and she chose her sister's daughter's son as heir as the closest familymember and adopted him. After victory Margareta effectively declared all actions of Albrecht null and void including ennoblements, which led to shortage of knights as many nobles lost their knighthood, which leads us to the large number of knights dubbed at the coronation of Erik.

TLDR: Yes being knighted was socially, politically and economically very important for the high nobility of Scandinavia as it was the gatekeeper of the best positions on the levers of power in the 1300-1400s.