And Finland, which point I brought up... sometime earlier this year. I forget.
The main conclusion earlier was that in 1836, they (Norway, Finland, etc...) couldn't really be considered independent, or not even vassals. They actually were (in the PI view too I guess) parts of the parent nation, even though they had some degree of theoretical and/or practical autonomy (which isn't modelled in the game, except by flavour events maybe).
There could and hopefully will be flavour events for these minorities within the parent states, which may in some or most cases lead (eventually, through nationalist militancy) to rebellions wherein they become vassals. Maybe even some relatively major stuff like "Release Norway as a vassal or all Norwegian POPs get +5 MIL" could be in, or added in. Or rebellions could be left to occur with the dynamic system (perhaps the increased effects of nationalism later in the era, like in Vicky).
If you want to play Norway right from the start, it's as simple as starting the game, releasing it as a satellite, then saving and loading said save. You could even theoretically declare war and then white peace if you want to be rid of the vassal status too, but that'd hurt Sweden, and you might want to go through the fun of trying to end the vassalage as Norway instead.
P.S. Sooner or later, I'll probably get around to starting as Sweden or Denmark, and uniting all the Nordic countries (Sweden, Norway, Finland, Denmark, and Iceland, if that last one counts) under one flag and crown!