I dont think that's how it went down. I suspect he was jumping really well, but looking at the depth in America, wondering if it would be tough to make a team. I think he saw that Sweden was fairly track friendly, so there would be a bit of money there in sponsorships, but it was a lot weaker competition. Making teams would be much easier.
Keep in mind that he made this decision when he was ranked maybe 300th in the world. He was the best ever for his age, but it was also unprecedented for somebody to have started jumping as a toddler... so it was no guarantee he would improve by 4 feet from when he made that decision.
As it turns out, he continued to improve significantly from when he made that decision, and wouldn't have had any trouble making an Olympic team in the US (or any other country, obviously).
Financially, it may still have made sense, even as the best in the world. Contracts for American athletes tend to bring a bit of a premium, because the advertising market is large and wealthy. But Sweden is also wealthy, and a bigger percentage follows track, and he is the only massive star in the sport from that country, so that helps offset the smaller market "at home."