1.
Is it actually possible for the Kalmar Union to continue to exist as an entity? Perhaps if Olav (son of Queen Margaret) didn't die at young age, he could actually do something? Or was it a union destined to doom since its inception?
Like it was already stated, if the nobles of Sweden and Denmark could somehow manage to keep together it might work. However I think that one of them would have to be the dominant, and thus provoce the other to resist, or they risk squabbeling since none can force the other to obey. But if the kings of the Union somehow manage to walk that fine balance between the many various sides and groups who wanted to be dominant, then I think it might well have a good chance.

2. Supposedly the Union continue to exist and managed to stop internal unrest. Will it actually become a strong entity? Will it able to resist and prevent annexation by its neighbours? How large do you think the military compared to other European kingdoms or states?
If everything would go as it went with a divided Scandinavia, then yes I think that the Kalmar Union could dominate Northern Europe. Seeing as Sweden did so for some time, I do not belive that the Union would manage any less with even greater resources. Both Sweden's great military landstrenght, Denmark-Norways naval power and controll over the sea-connection between the Baltic Sea and the Atlantic I think it COULD be a very powerful creature.

3. Will they attempt to expand their boundaries? Will there be race with other European kingdoms making colonies in the 'New World'?
Of course they would. Both Sweden and Denmark-Norway attempted with various degrees of success to do that, both in Europe and outside. If they worked together than I belive that they could well have manage to gain both lands within the Old and New World. To which degree they would also mange to keep these conquests better than they did in reality is however a different matter.

4. How do other European states view this (big and strong entity?) Will continental European states (and perhaps England) at one time unite and attempt to destroy it? Or will this 'Scandinavian Union' smartly play the nations of Europe one against another, creating vassals, etc? What if major wars in Europe (Seven Years War, War of Spanish Succession, Thirty Years War) still occurred? Stay neutral? Who is the most likely allies and enemy?
I think that many Baltic and Northern states would feel very threatend by a such political ententity. The Dutch, the Hansen, Russia, Poland and the Teutonic Templars to name a few I think might see a united Scandinavia as a great threat, either in time or after having seen a such power's imperialism up-close. So yes, I think that alot of people would dearly want to see the Union destroyed for various resons. If they would manage it is however a different point. Also, I think that it would more likly be about cheaking the advancement of this great state, rather than destroying it. Look at France. Coalition after coalition have fought against her with different outcomes. However, although the French have been stopped at various points, I can't think of a single time when it was actually a matter of France's surivival, with the Hundred Year's War as the big exception. I only that that the Union might face true danger of destruction from within.

5. Will it drastically change the political look of Europe at 20th century? A great power with many colonies worldwide? All of northern Europe under Scandinavian domination?
That would depend entirly upon how the state survived the 19th centuary, and the history before. Would it survive its (probably) many external enemies? Would it mange to avoid being split up like so many other old states in the waves of nationalism? It could be a titan on the political scene, or the broken remaint of a state which once, a long time ago, mattered in the world.