I love Sweden and I'm born and raised here, but I feel 100 % Indian and I think that's the case with most foreigners in the country, or at least the ones I know.
I believe it depends on the person and the area you live in. The people over here in Rosengård are most likely strongly connected to their roots and primarily see themselves as their parent's nationality. But Malmö is a multicultural city so things could be different in other parts of Sweden. I also believe it depends on the nation your parents originate from, some people like us Turks are more "patriotic" and connected to our native identity than others.
The guy is obviously one of us from the ex-Yu

