The overall grid is managed by governments cross countries in Europe. The production is not. While the producers do have an obligation to provide enough electricity at all times, the consumer is free to purchase the electricity from any distributor they want. This creates a free market for pricing while keeping the production regulated. For a small country like Sweden, producing everything in nuclear would destroy the market mechanism on pricing, leaving then with a monopoly.
The risks towards energy production are stuff like war, natural disasters and terror. All of which have been relevant within the last ten years somewhere in the world and increasingly so. The only way to maintain a functional distribution of electricity in these situations is to have the production de-centralised.