I was playing drop-in with a guy from Norway, my Grandfather is from Oslo and so I was talking to him about Norway and I had the same question. He said Sweden/Finland have a more farm/hard working people and the kids of those people have the hard work mentality that you need that to really do well in hockey. Norway has been the rich cousin for sometime now, snow sports have been an uper-middle class sport(x-country skiing is something that the Norwegians take pride in like USA and baseball or Canada and Hockey).
Could be actually true.