An interesting question indeed.
Let's divide each Scandinavian country up.
Norway. Obviously it won't fall into PU with Denmark. Young Olaf will be raised in Norway instead of Denmark (going with his Father dying as OTL), I would still bet on that Margrethe becomes regent of Olaf, but obviously just Regent of Norway and not Denmark. If Olaf dies as OTL, we're in a pickle, because he have no brothers. Maybe one of his eventual cousins, A third son of Christopher etc. would be a option, creating a cadet Estrid line in Norway, under the continuous regency of Margrethe. If not, I could see Christopher mess in Norway, going after Viken, which there was a historical happened earlier for.
Denmark: a continuation of the Estrid dynasty is the first. Which Is nice it was a far more impressive dynasty than the later Oldenburg one (IMO) Considering Christopher's family relations, I think a good bet that he would be above decent at ruling (Considering his sister Margrethe and his Father Valdemar IV's are both impressive figures) He is in a pretty good position, with Norway being regarded as an ally. He will continue contesting the Hanseatic league for dominance in the Baltic.
Sweden: I am going with OTL, so Albrecht of Mecklenburg will become king in 1364. Eventually the Swedish nobles will get tired of him, and want to get rid of him. Naturally they wont look to Northern Germany, that is where the got the bastard. Instead they have two options (IMO) Norway and Denmark. Norway at that point (1389) just recently lost Olaf in 1387, and as such it depend on who rules it, Margrethe as a regent for a nephew, or if not it is probably in a civil war of sorts. Undoubtedly Norway would not have the resources that OTL Margrethe had. As such, it would probably not have the power to contest the Mecklenburgs, I might be wrong though. Another option is to look to Denmark as OTLish. Christoper might be an option, but probably not if he is fighting a war in Norway. Another option would again be a second/third son. counting on him getting at least two
I dont think we will see the Kalmar union emerge, but I do think Denmark will get into a stronger period than before. For example with different Estridsen cadet branches ruling both Norway and Sweden. One thing is for sure there will still be a Scandinavian reaction to the increased power of North Germany in the baltic