Thank you @Nand for clarifying the matter.
As an asylum seeker you are not allowed to leave the country where your procedure takes place (not to mention that you most likely don't have the required documents to do so). That's why Denmark sent you back to Sweden.
In general, an entry-ban that has been issued in one EU country is valid for all the other member states as well, if your data has been added to the so-called SIS (Schengen Information System) database.
It's a normal procedure that you get travel documents along with your residence permit after you've been granted asylum. I assume that the fact that you can't use it to travel to Schengen countries doesn't matter in this administrative act. The ban is something that comes into play if you try to use your travel documents, but that's not a reason to not give it to you in the first place.
I don't think you can lift the ban.