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Bialaska

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I am playing Sweden and used the king maker to create my own king. He has lots of sons and I assigned the eldest to be the heir, but it states I will lose the Kingdom of Sweden on death. Why?

While I cannot be certain, it might be because the other voters are supporting another duke than your chosen heir.
 

Wheem

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If you're using Elective Succession, it's probably due to other voters supporting someone else to be the next ruler. You'll need to either make the other electors like you more, or get rid of them (either by replacing them with someone else who likes you better, or by taking their titles for yourself).
 

LarryLeica

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Look in the laws tab (second icon on left top bar), you will see three slots for nominated heirs, the small circle next to them tells you how many electors support each candidate and if you mouse over it will tell you who they are. You need to make friends with them so they support you, or revoke their titles and hold all the elector titles yourself. The elector titles are all the ducal titles under the kingdom of sweden, hold all these yourself or at least the majority and you can appoint who you please at the cost of a small opinion hit.