More information regarding when an ethical permission is needed and how to apply for an ethical review, can be found on the Lund University website about research ethics and on the homepage of the Swedish Ethical Review Authority (only in Swedish).
A data management plan (DMP) provides a good basis for the ethical review application, as the information provided in the DMP can be reused in the application.
Please observe that the ethical review application is associated with a cost and it may take some time before a decision is made. If an allocation for these costs has been made within the budget, most research grants will cover the costs of ethical review applications.
Do students need to apply for ethical permission when writing their thesis? Usually not, but there are exceptions, as described on the Lund University webpage on student projects and ethical review.