Yes, it matters which embassy/consulate you apply to. The main rule to be aware of in cases like this, is that you must apply to the country that is the main destination of your trip.
If that country doesn't have a representation in a certain part of the world, they might have chosen to be nice to the people living in that part of the world, and made an ...
If the (normally) responsible consulate is not available, another Schengen consulate can be used in visa matters.
Honorary Consul Medan - Federal Foreign Office
Since you must call to make an appointment anyway, mention the fact that your plan is primarily to visit Sweden.