It’s an understandable error on their part. After all, it is quite easy for a doctor or medical examiner to mistake a bullet to the back of the head for a heart attack when performing an autopsy...
Presumably Sweden was terrified that the Soviets would move against them next; and the Swedish ambassador more or less told Stalin
that they were not concerned about Wallenberg. Stalin then took a piece of paper about Wallenberg off the table and stuck it in his pocket, and that was that.