Trains are assigned to the day they are scheduled to depart whichever station you board at, on or before 23.59 CET it is that day, on or after 00.01 it is the next day.

Yes, that would be 4 ´travel´days. BUT as it looks also like a normal type return-also check what a advance booked ticket would cost- a pass will also involve extra cost for the needed REServations.

Also note that the overnite trains do not allow passholders to use all types of beds/sleeper they have-the more expensive (bisnis type) are excluded. So it also depends on what you want/willing to pay.

DO book early for the main seasons-now/summer and in peak wintertime (when there is no real daylight up north)

You may also want to check how much a 1country SE pass cost and just pay yourself the normal tickets (or maybe you have some pass for that area) to go over the tunnelbridge DK-SE, maybe this works out cheaper. No one forces you to only use the direct trains (far fewer in nr) from CPH vs. those from Malmö

You can use a Eurail one country pass for Sweden for this trip as that pass covers trains with SJ to Copenhagen and Oslo.

https://www.eurail.com/en/get-inspired/top-destinations/sweden-train