Considering Scandinavianism in the 19th C failed as a movement in part because there was no real support among the masses for closer union among the Scandinavian peoples into one state, one has to conclude that at least for several decades more people would have clung to their local identity than any supranational identity. If the differences between Northern and Southern Italians can persist (and have real political impacts) to this day after 140+ years of Italian unification, it is utopian to think that Swedes, Norwegians and Danes would all just happily identify as Scandinavians within a couple years. Especially given the centuries of squabbling between the three.
And functionally, it makes no difference whether you have all three as separate national cultures or were to merge them into one Scandinavian one, so there is no real gameplay reason to make the changes.
Of course, even if VIP does not do it, does not mean individual players can not make it for themselves. Just use one of the new user-defined cultures Revolutions added to create "Scandinavian" and make your own event to convert all Danes, Norwegians and Swedes to that user-made culture, make the national culture that new culture, and you are done. About 5 mins of modding to do.
But it is not something we at VIP would feel comfortable adding, since the suggestion does seem to fly in the face of plausible history of the period. At a time when Norwegian nationalism is rising more strongly each year, the idea that the Norwegian nationalists would be happy in a Scandinavian union just sounds very hollow.