There's two modes of thought you can take with this.
From an RP perspective, I absolutely take the decision. However, like people have said, you lose flavor events, which sucks majorly (and unique Danish missions, for that matter). I'd love it if Paradox gave some flavor events from Sweden and Denmark to Scandinavia as well- the latter more than the former, I'd say.
The second thing to keep in mind is this- while Scandinavia is a cultural union, the thing is that this doesn't actually matter unless you expand to a ridiculous degree, because the Swedish and Norwegian parts of your empire will actually outnumber the Danish parts. Given that the threshold for gaining Accepted cultures is 20% and the threshold for losing it is 10%... you're basically never going to lose Norwegian/Swedish as accepted cultures anyway, and the cultures in the eastern part of the Scandinavian peninsula, likewise, are unlikely to ever be accepted.
So, from a RP sense, you can make a good argument for it (and I play EUIV from the perspective of telling a history, so RP is often the direction I come from), but from a practical sense, it gives you little benefit. If Finnish, Sami and Kola cultures were added to the cultural union provided, then this whole calculation would change a bit, I'd say.
