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If I save a spool object as a pdf, the Swedish letters (å ä ö) will not be printed correctly. If, on the other hand, I choose print to pdf, it will be right. Is there a setting that needs to be changed, or is this an unresolveable bug?

The PDF engine used in a 'save' is different than the engine used when printing. Unfortunately, until the PDF save engine is replaced there isn't much that can be done.