As a Swedish citizen I need a visa to travel to Russia but not to Malaysia.
If I book 2 separate flights:
Stockholm → Moscow → Stockholm
Moscow → Kuala Lumpur → Moscow
I would fly Stockholm → Moscow → Kuala Lumpur and back.
I do not intend to leave the Moscow airport, would I still need a Russian visa?
If yes, would it be a normal visit visa to Russia?
In theory, you should not need a visa. As stated by Timatic, the database used by airlines:
Visa exemptions: holders of onward tickets for a max. transit time of 24 hours.
In my experience, however, in practice many check-in clerks and gate staff (incorrectly) interpret this as "Holders of onward tickets in the same booking for a max. transit time of 24 hours", and are thus likely to deny you boarding without a visa. One reason being that, if you miss your connection due to a delay, you're not covered by the airline and would be stranded at the Moscow airport, in which case your inbound carrier could be forced to send you back, a situation they want to avoid at all costs.
Furthermore, if you have checked-in luggage, it may very well not be checked through, in which case you will need a transit visa to pick it up and re-check it, which requires clearing immigration (both in- and outbound)
Contact Menzies Aviation at Arlanda at 08-797 80 84 (they're the ones checking you in, and, I think, checking you at the gate) to find out the arrangements regarding checked-in luggage (if you have any) and how they enforce the onward connection rule.
If you do end up having to apply for a visa, then no, you do not want "a normal visit visa", but a double-entry transit visa
As you can see in linked question, you need tickets for your next flight ready to show at the moment you arriving at the SVO. Make sure that:
SVO in Moscowand you're fine. Otherwise, as @AE said, you need a transit visa.
