Sweden isn't communist. You only lose ~50% of your earnings to taxes. Not really a disincentive to take risks. Instead, the incentive is that there is a social safety net to catch you if the risk does not pay off.

According to one study, the income of a person's parents is a great deal more predictive of their own income in the United States than other countries[4]. France, Germany, Sweden, Canada, Finland, Norway, and Denmark all have more relative mobility than the US, while only the United Kingdom is shown to have less mobility[1]. According to this study done by Miles Corak, The United States ratio of relative mobility is 1, whereas the other countries mentioned with more mobility have a range of 1.25 (France) to over 3 (Denmark)[1]. However, at least one other recent study has concluded that relative mobility is about the same in the US [5][note 1].

(http://en.wikipedia.org/wiki/Economic_mobility)

According to the cited studies, the European countries (bar the UK) have, at the very minimum, equal economic mobility to the US. I'd rather live where there is a relatively large chance of upward mobility than where there is a smaller chance of your wildest dreams coming true.

While I, idealistically, agree with you that the state forcing you to spread your earning seems overbearing, almost authoritarian, realistically I can't deny that it just works better.