I think it is neither an umlaut nor a diaeresis. In Swedish, “ö” is simply a letter. But if I had to choose between umlaut and diaeresis, I’d pick umlaut. In German, umlauts alter the sound, not the accent. And that’s what happens in Swedish — you get a different sound. The diaeresis changes the accent.
Swedish experts, feel free to correct me.
As for Dag Hammerskjöld, his suspicious death was a loss to all of us.