Honestly I think Skåne, Halland og Blekinge should be Danish in Civ, as this is not just a game about the last 350 years.
I guess there's a minor conflict here.
Scania, Blekinge and Halland were acquired by Harald Bluetooth and remained Danish for centuries. For one thing, most cities were founded by the Danes, thus we have a good case for why they should be included in the list of Danish cities.
On the other hand, the Sweden civ seems to be largely based on the historical era of the Swedish Empire, starting with the 30 Years War and moving on to the caroleans etc; a period when it acquired all of it's modern possessions, as well as a bunch of other territories which it eventually would lose. I think that many of the important Swedish cities of this era will be included in it's list, including perhaps Reval (Tallinn), Stralsund, and maybe even Riga and Stettin, as well as of course Scanian towns.
But, I do lean towards agreeing with you here. Scania, Blekinge and Halland were part of Denmark during the Middle Ages, and cities like Malmö, Lund, Helsingborg and Halmstad should be in the list of Danish cities. Anyone who wants to re-enact history in his/her game should play Sweden and conquer these over.
An exception though, would be Karlskrona in Blekinge, which was founded by Sweden in 1680 and would become it's most important naval base.