Locale errors is common - for reasons unknown - to me a least.
I can easily understand your confusion and your system confusion as en_SE.UTF-8 does not exist.
~ $ cat /etc/locale.gen | grep SE
#sv_SE.UTF-8 UTF-8
#sv_SE ISO-8859-1
I have only seen references to non-existing locales with KDE Plasma - never with other systems - so whether this is caused by Manjaro Settings Manager or by KDE system settings - I don’t know - because I don’t use Plasma. At first glance it does not look like MSM but the KDE settings.
So my advise is to fix the lines in /etc/locale.conf to read sv_SE and when you prefer english then use
LANG=en_DK.UTF-8
LC_CTYPE=sv_SE.UTF-8
LC_MESSAGES=en_DK.UTF-8
Then edit your /etc/locale.gen (scroll to the end of file check they are not doubled) to include - ensure en_US.UTF-8 for fallback
en_DK.UTF-8 UTF-8
en_US.UTF-8 UTF-8
sv_SE.UTF-8 UTF-8
Then rebuild
sudo locale-gen
For comparison is the content from my system (technically I could have da_DK on everything but LANG but I really don’t bother that much)
~ $ cat /etc/locale.conf
LANG=en_DK.UTF-8
LC_ADDRESS=en_DK.UTF-8
LC_IDENTIFICATION=en_DK.UTF-8
LC_MEASUREMENT=en_DK.UTF-8
LC_MONETARY=en_DK.UTF-8
LC_NAME=en_DK.UTF-8
LC_NUMERIC=en_DK.UTF-8
LC_PAPER=en_DK.UTF-8
LC_TELEPHONE=en_DK.UTF-8
LC_TIME=en_DK.UTF-8