In the Treaty of Kiel of 1814, Norway was essentially given from Denmark to Sweden as a "sorry we were on the other side", but Iceland was not a part of this deal at all. This is in spite of the fact that Iceland had been a part of Norway since 1261 AD and then later part of Denmark-Norway in 1380 or so. So why was Iceland (and indeed other Norwegian "colonies", such as Greenland) excluded from the treaty?
Norway shares the so-called "Scandinavian" peninsula with Sweden, and the two are contiguous. Therefore, the latter country was eager to make sure that it was in "friendly" hands.
Apart from that, Sweden had an "eastern" (e.g. Baltic), facing strategy, unlike Denmark, which was more west-facing. As such, Iceland (and Greenland) to the west were not of particularly great interest to Sweden, but were of interest to Denmark, which bargained hard to keep them.
Norway could form an important part of Sweden's "east-facing" strategy, because the northern part goes to the Barents Sea, and from there, Archangel, Russia. Also to the (formerly) Finnish nickel mines in Petsamo.