Don’t worry about it. The seats are probably the one travel class with the most luggage space, since it’s a former normal day train car with enough racks. I wouldn’t worry about a normal sized piece of luggage and a hand bag. Will work out just fine.

The message is mostly meant to deter people for the people hauling around 3 huge pieces of luggage on a train with limited space.

Here you can see pictures of the seating carriage. 

https://www.sj.se/en/about-the-journey/sj-euronight/seating-compartment-2-class

Scroll down to see the seat numbering of the seating carrage.

Thanks for your tips. They seem pretty serious about it, stressing that you can only store your baggage at your seat and nowhere else. But I guess we’ll fit somehow.

I’m answering my own question in case someone else is wondering. There really is limited space for baggage in SJ’s Euronight train from Berlin to Stockholm. I managed to find space for my baggage but it was really difficult. It didn’t fit under my seat and it was too heavy to put it above the seat. There are only a few other places to put the baggage to. (The train must be from the 1960’s or something.) So anyone considering taking that train: don’t take too big suitcase with you. You will fit in, but it will be uncomfortable.

That is true generally. Pack light. 2 smaller bags are better than one large suitcase that you can't lift by yourself.