No, they chose not to interview him at the embassy or via weblink, because had they done so, the case would have been closed. They rather keep it open.
Accused criminals don't get to set the rules. There are many jurisdictions where criminal trials in absentia are not possible, legally. That's mostly to the benefit of the accused.
How? if they can get a conviction they should get the conviction. For eg, Vijay Mallya from india was convicted of a crime and india is now seeking his extradition. how does it make sense that you keep the case open?
Mostly it's due to the accused's right to confront the accusations and be heard. There is also a lot of ugly history of using trial in absentia to, for example, get rid of political enemies: quickly convene a trial and convict them while they are abroad, avoiding a long trial allowing them to make their case and forcing them into exile.
He is charged with different crimes and therefore there is a warrant out, and a request for extradition: "When he failed to appear, the Supreme Court said the contempt case would only proceed further after he is produced before the court".
There are also multiple court verdicts in favour of banks and business partners, but those are all civil law, not criminal.
The police in Sweden and every other country would save so much money if they could just ask the suspected criminals to be interviewed over skype instead of having to fetch them and take them to a police station. Or why not ask the person to be interviewed where they want it to happen and the police can come to them, with the prosecutor.
We could also save so much money if the criminals would not need to go to prison for which we pay, but decide where they want to stay and inform the police.
That's what we do for billionaires like Martha Stewart and some millionaires. Anyway there is a huge difference between suspect, person of interest, and convict.