Your link's graph shows that nordic countries have highest social transfers and highest consumption taxes. This means that they are countering the regressive effects of consumption taxes with other income transfers. What the graph doesn't show is that income tax (and many other fees/taxes) are also quite progressive in these countries. So the graph supports Krugman's claim of high consumption taxes in these countries, but not your claim of on "highly regressive" taxation.

Krugman's other reference has a broken link but his text does not sound like your claim either.

But in the big picture, income transfers do seem to be more favoured in strong welfare states than progression in the tax system. The US has a mongrel system with EITC because you get a "negative income tax" by social criteria (basis of which are quite 1950's...) - it's more like a social transfer in many respects than a tax progression.