Sweden: He is going to be beyond angry and it'll show. All he really has to do is look at the person to send them fleeing with their tail between their legs. However, there's no guarantee he'll control himself if the person was trying to seriously hurt his brothers, especially Finland. (And Sealand too!)
Finland: He would first try to be polite and assertive with the person. "Can you please leave him alone?" If the person completely brushes Finland off, that is a horrible mistake on their part. He will start to get progressively aggressive until the person realizes they should not be messing with this family. (...Finland is a very scary force that should not be reckoned with.)
Norway: If his brothers are just being teased lightly, he doesn't care too much. If he can see someone is going to try to hurt his family, he'll warn them not to try anything stupid. If they do not take the warning, well they aren't prepared for what happens next. Norway likes to scare them half to death by having his troll literally pick them up or shake them.(It's not like too many other people can see his magical friends.) Then he'll go up next to them and whisper, "I warned you." He won't tolerate his family being hurt. (Especially if it's Iceland.)
Iceland: If the person is just teasing one of his brothers, he'll probably not say anything and just kind of watch. If they are being too harsh with their teasing, he'll step in and tell them to knock it off. If they are trying to hurt his brothers, he'll show them just how bad of an idea that is. He'll resort to choice words and self defense if it comes to down to that. (Plus an angry Puffin.) Iceland won't run away from a brother in need.
Denmark: He isn't going to stand for this. According to himself, he's the only one allowed to tease his brothers and will make that very apparent to the person. But oh boy. If that person is actually trying to hurt one of Den's bros, he will lay them out flat. No one is going to so much as put a scratch on his brothers as long as he's there.