As others have pointed out, you will clear Schengen immigration at the first port of entry into the Schengen zone (i.e. Amsterdam airport). What hasn't been discussed, however, is whether OP needs to clear security again (I'm unsure if AMS is one of the airports that accepted the IATA Annex on OSS - One Stop Security - the principle that you are scanned only once through security at your origin point and that's it).
If the Hong Kong to Stockholm is all on one ticket, you will be protected in the event of a mis-connect. Heck I was connecting in Amsterdam a little over a month ago and was in the KLM lounge, lost track of time and missed my connecting flight. No worries, KLM put me on the next available flight free of charge despite me missing the connection was entirely my fault.
In terms of lounges if you are travelling in business class, the non-Schengen KLM Crown lounge is better than the KLM Crown lounge located in the Schengen zone. There's sleeping pods, lockers, a terrace, several buffets, bars, all in a huge wide open space. Absolutely loved it when I was flying through last year.