Yes, Kim is pronounced with a hard 'k' sound in all of Scandinavia. There is an originally Finnish male name Kimmo, but I don't know if there is or ever has been a connection between Kim and Kimmo, though. Instead, the Scandinavian Kim is often listed as a clipped form of Joakim.
You're also right about k being pronounced 'sh' in some environments (but not all!). For example, Kjell is pronounced close to 'shell', while Karin is 'KAR-in'.