In Sweden, can a supervisor ask his PhD student to provide a private future work list of his thesis?
A supervisor who asks you to write a detailed "future work" document might be trying to cheat you as you appear to worry about, but it's unlikely.

What's much more likely is that they're interested in the scope for future projects both for students, and for postdocs.  If your supervisor can get a grant based on work you've done during your PhD, and there's funding for a postdoc on that, it could well be to your benefit - you should interview well on the topic at least.

Without the backing of your supervisor (either in their lab, or moving on with a reference from them) you're unlikely to have the chance to work on this material anyway, and your dead ends may prove to be good projects for new students with a different skill set.

Finally viewing anything in academia as a simple transaction is rarely helpful model.