Hey, new to the site and the art of lockpicking.
I recently looked this up and there is NO law that says lockpicks and other such tools are illegal to purchase and own in Sweden. The ONLY laws governing them are for SELLING them for which you need a license.
Whoever the cop was who told you that you needed a permit was lying to to. There is literally nothing in the law that says you need a permit. Now, the gray area is if you "walk around with the tools in a dark alleyway". You get the point. If you have them with you in your car and they stop you and see that you have such tools laying on the passenger seat you just tell them it's a hobby. They don't arrest people for driving too fast just because the car is capable of going above the speed limit. Likewise they have no right to confiscate your tools just because they Can be used for nefarious reasons. Now I don't recommend driving around with such tools laying in the open for them to see in the first place because why even invite the possibility of an argument. Likewise you don't drive around with a machete plainly visible. That would warrant some questions in a routine stop.