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subconsciously we tend to phonetically use our mother tongue phonetics when communicating using other romanic languages and dialects.

Yup. The "posh" word for that is transference; you transfer features from all varieties that you speak into each other. It isn't exclusive to Romance varieties, it's just that among Romance languages you can get away transferring more stuff (as there's a good chance that the feature in question also exists in the target language).

This gets interesting in Shakira's Portuguese, because she is not transferring a few Spanish features into Portuguese, even if she could theoretically do so, and still pass as a native. A quick example of that would be how she pronounces "determinante" with [tʃi], even if plenty Portuguese speakers would use [te] instead, as you would in Spanish.

I guess that the question is if to be considered a proficient speaker of a specific language, do you need to loose all traits of a foreign accent?

It depends, really. There isn't a single answer. For some, full proficiency is to speak a language as native speakers would; for others it's just about being able to communicate with other speakers (native or not) efficiently.

Personally I'd consider the Swedish speakers from your example as fully proficient, as long as they're able to communicate what they want.