"Swedish studies on income-convergence patterns of various immigrant groups and natives indicate that the income-gap between immigrants tends to decrease in the first few years in Sweden but thereafter remains at high levels. For the immigrant groups from countries outside Europe, this income-gap settles at around 30 percent. Considering the small wage inequality in Sweden in general and the observed wage differentials between natives and immigrants, the huge income gaps must then reflect differences in unemployment-risk."
http://www.fief.se/publications/working_paper/pdf/WP169.pdf

I don't know whether the source of this article is credible, but it sounds as if there are problems even with Sweden's all-inclusive social model.