Suicide rates somehow increase as people get happier.
This should tell you that the measure of 'happiness' doesn't in fact measure happiness. Happy people don't kill themselves. Which means it's just bullshit.
See Denmark at the top? They're pretty darn socialistic, with so many superfluous liberties taken away, and they're first.
Compared to what? Their tax rate on individuals is very similar to others, the actual differences between developed countries are small. Note the low payroll tax.
In social spending, there's also nothing exceptional. They are just European. Now look at the best measure, PPP dollars (which take prices into account). They are spending only 34% per head more than USA. Not really that big difference. What's the real difference in efficiency in using that funds.
Other than that, they have much more liberty than an average country. Caught using drugs for the first time? That's a fine. They even have legal drug consumption rooms. You won't get beaten by a police. There's almost no corruption, so as long as you respect the law you are left alone.
Basically, the taxes are (relatively) a bit higher than the average, but that's it.
Compare that to Russia. 13% flat tax, 10% payroll tax. Except if someone in power doesn't like you they are just going to take everything you have. In addition to that, you have to regularly pay bribes or petty bureaucrats are going to destroy you just because. If you are caught with drugs you may be able to just pay a bribe, but if you don't, the cops will beat you, and later you will have to regularly fight in other prisoners, possibly get raped. You can be caught with drugs even if you didn't have them.
Or Singapore. "Free market". Except you can't even chew gum. A bag of marijuana? That's death. At least there's no corruption, so as long as you behave like a perfect slave you will be ok.
USA is somewhere in between. The system can be even more oppressive than the Russian one, but on average, it's much better.
Neither of these are socialist, even though they are obviously not free. Want socialism? Look at Venezuela. Or the whole Eastern Block before the fall of USSR. That's socialism.