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This could be bad. The authorities showing this kind of interest probably means that since they can't get what they want this way, they'll try to ban VPN services. I live in Sweden, where Mullvad is based, and just months ago, a law was put in place that mandates registering prepaid SIM cards. Also, usually what happens if the Swedish government can't get a law they want in place in Sweden, they take it to the EU and try to inflict it on the entire union...
I wonder if Mullvad has a plan if either of that happens, such as moving abroad.