The monarch or the crown is often a proxy for the government itself. Sovereign immunity in the U.S. arises from the fact that under English law, the Crown could not be sued in its own courts. Canada inherited the same concept, and so they have a statute that waives the immunity (the Crown Liability Act) for torts: http://laws-lois.justice.gc.ca/eng/acts/c-50/page-1.html#h-3. That's the same thing as the U.S. did with the FTCA.
My mistake about UK/etc. then, but my point still seems to stand; in most countries it's only the ruler personally that's immune. If Sweden does something that harms me, I can't demand that the king be punished, but I can demand compensation from Sweden (as long as the legal proceedings take place there).
