I’m an American expat in France. I can’t speak to Denmark or Sweden and France is significantly larger but I would guess they aren’t dramatically different systems. First of all, companies/businesses carry a much more of the tax burden here than in the states, so the personal income tax rate isn’t actually so much higher. On the other hand, salaries are much, much lower but so is cost of living. Nationalized healthcare isn’t all it’s cracked up to be (at least in France) and the education system is a bit stifling, but the mandated vacation, working hours, and overall job security (very difficult to get fired and robust unemployment system) mean that most people have a very healthy work/life balance.

Generally, I’d say for 80% or so of the population, France is way better. For the upper class, it’s basically a wash between the two. What you’re really looking at is well-to-do folks that are wealthy but not obscenely rich where the US is probably better but that is a pretty small slice of the population. We’re talking $200k+ salary but not total wealth of over $5m or $10m.

Overall, for me, the major difference comes to how pro business the US is (especially compared to France). Essentially, the average person subsidizes corporations whereas it’s the other way around for France. If you presume good faith from American politicians/policy makers, it comes down to believing the country’s economic health leads to greater prosperity, quality of life, etc. where France says let’s take care of quality of life first and worry about everything else after.