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It doesn't work like that. You don't have to exit in any place you think sympathetic, etc. Plus Sweden monitors more than almost anyone except Denmark and France nowadays.
VPNs work by encrypting from you to them, and then letting your traffic out without it being strongly associated to the inbound, and thus you get lost in the noise and it's very hard to piece it all back together.
Either pick the closest to you (will be the fastest internet), or pick the one you want in a country that you want to appear in (i.e. if you want Netflix US, you'll want to surface in New York or something).
Velocio
@Well_is_it
Which region is recommended with PIA? Sweden seems like a good bet or does it not work like that?