My main objection would be to the effect of the 'equality' we see in Nordic systems not necessarily equating to 'justice'. Those in life who are legitimately successful for example, I do not believe should be made to pay the bill for those who are intentionally not so through their own actions or lack thereof.
Perhaps more simply, such systems tend to ignore the presence of what the often scorned Charles Murray called 'The Underclass' or rather, convey the impression that it does not exist whilst accommodating it. That someone who is legitimately successful in life for example, is punished heavily for it via taxes, whilst someone foolish can live in relative prosperity off Social Welfare, is the main reason why I disagree with a great deal of Western Liberal Democracies economically. Indeed, i'd probably fit William F. Buckley Jr's notion of conservatism best;
Does the Scandinavian system work well? Absolutely, though one can debate the reasons and circumstances that have allowed it to function as such. My girlfriend grew up in the 70s for example, and prior to Norway's endeavours into the world oil market and subsequent wise spending of the profit, Norway was actually a rather bleak place beyond the likes of Oslo. Is the Scandinavian system fair however? I'm not so sure.Buckley would distinguish between so-called "lowercase c" and "Capital C" conservatives, the latter being true conservatives: fiscally conservative and socially Conservative/Libertarian or libertarian-leaning.