The three verbs have different meanings. You should use the one you mean. ‘Like’ is a preference, and rather weak. ‘Enjoy’ suggests doing things which make you happy. ‘Thrive’ means doing well, succeeding. The tense is wrong for ‘thrive’ though. ‘Thriving’ is something observable. So you have to say He’s thriving in Sweden. (He’s succeeding - e.g. financially, emotionally etc.)

They are all correct. "Thrives in" means something more than just "he likes it". It suggests that his life there is profitable and enjoyable and things are going well for him. The first two mean the same thing.

They are all excellent. "Likes" is a mild word, much weaker that "loves". If he likes Sweden, then he's doing OK there. "Enjoys" is a little bit stronger. "Thrives" is much stronger. Imagine you have planted a seed and the plant just grows like crazy. That's thriving.

DavidK has mentioned something interesting, that may be a difference between American Thinking and British Thinking for "Thrive". "He thrives " sounds fine To English Ears but "He is Thriving" is probably a bit clearer.