In Denmark, many of Bernie Sanders' proposals were supported by both the center-left and center-left. Both center-right and center-left politicians in Denmark support full universal healthcare, robust minimum wages, free college, universal childcare, good pensions, good public transit, paid maternity and family leave, paid sick leave, paid vacation time, extensive unemployment insurance, high income taxes, and strong collective bargaining laws.
However, it is also true that over the past few decades, social-democratic and labor parties have moved to the center due to the rise of neoliberalism and the "Third Way." In recent years, center-left leaders in Western Europe have publicly supported bank bailouts, fiscal austerity, free trade agreements, and austerity being imposed on Greece. On key issues, Western and Northern Europe have moved rightward, including privatization, trade, and the scope of regulations, especially financial regulation. In the post-Big Bang era, the typical left-of-center European politician won't advocate for a policy like Glass-Steagall. Moreover, while there is political consensus on the right and left to provide a generous safety net, European politicians believe that the welfare state should be funded by broad consumption taxes on the public (the VAT), not just by taxes on the very rich.
On one level, Sweden, Norway, Denmark, etc, have pretty free markets, with there being less regulations than the U.S. in some sectors. In general, labor markets are quite flexible, it's easy to hire and fire people, there aren't many state owned enterprises, and companies that fail aren't bailed out. Part of Sweden's education system is privatized. These countries have definitely become a lot more capitalist since the 1990s, whereas they had more bloated governments before that crowded out the private sector, which if unchecked, would have reduced long-term supply-side growth.
Today, Sweden, Norway, etc, are plenty capitalist in some areas, and their free markets provide incentives for resources and goods to be allocated efficiently, facilitating a dynamic, competitive economy that's also innovative. Corporate taxes are also lower than they are in the U.S., creating an overall good business climate for job creation. Sweden lacks not only a wealth tax, but an inheritance tax. Sweden lacks a national minimum wage, although workers do receive decent wages due to very powerful labor unions. Taxes on capital and corporate income are lower than they are on ordinary income. Moreover, Scandinavia is more reliant on consumption taxes for revenue than other forms of taxation.
Also, Scandinavia is very big on free-trade and tariff reduction. Moreover, on macroeconomic fiscal policy, the center-right parties currently in power in Sweden and Norway aren't too big on Keynesian economics and stimulus (though they weathered out the 2008 recession pretty well so questions about fiscal policy didn't really arise). They also have pretty good debt to GDP ratios and are much more fiscally responsible with their budgets than America is.