Being Swedish - and also the first Swede to review this movie on IMDb - I must emphasize that Palme was indeed elected Prime Minister a number of times, but it was for certain that people were voting rather for the Social Democrat Party, than for Palme.
He was not of a working class background (which is/was an important trait for other fellow social democrats), he was regarded as an enemy of the far left (and at the same time regarded as far left or even communist himself by the right wing), he missed the environmental train (praising atomic power instead), and contrary to easing up on the heavy taxing during the mid 80s, he promoted the highly unpopular Employee Funds i.e. statutory funds coercing private companies to sell shares to trade unions. These were not successful, nor long-lived.
A common notion was that Palme belonged nowhere.
On the other hand, one would appreciate his type of mundane, frank, controversial, non-sociopath, and non-conformist man of letters in today's politics. (Most guys today that people prize today are just silly gigolos, to cite Cole Porter.)
This documentary shew Palme as a human, such as I've never seen him depicted before. The motivations for his choices in life are in focus of the film, not his ideals or beliefs per se. He was acclaimed, and disliked, for the bold standpoints of his. Much of his problems, though, concerned his personality, and how it was perceived by others. I think that this film displayed certain facts regarding this that were news at least to me.
We already know that he made international headlines as a critic of U.S. politics in South America and Viet Nam, and that he hobnobbed extensively with Castro and Arafat. (It is still embarrassing to view Palme being welcomed by pioneer kids shouting communist mumbo-jumbo.) We also know that he was murdered, and that 30 yrs will have passed without a satisfactory conclusion of his case. It was however not the aim of the filmmakers to linger here.
I learned several surprising things about Palme from this film, such as him having severe dental issues (in fact I'm right now reading a detective story from the 60s that refers to this: "one minister is banned from smiling") and that he was a non-stop smoker.
His witted mocking of the winner of the parliamentary elections of 1976, Mr. Fälldin, is nothing short of a vintage classic: "Mr. Fälldins's speech was interesting in as much as he did speak the 15 min designated, and considerable more time, without referring by one single word to the very subject of today's debate!"
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