I had a spare few minutes to look into this further.
Assuming that you are getting the Klarna Payments module via Magento Marketplace, the Overview says:
NOTE: This extension is for Magento 2.1.x only. For Magneto 2.2.x support (both Commerce and Open Source editions) please install/upgrade to 2.2.4 or higher and Klarna Payments is installed for you as part of the core Magento offering.
So I checked the settings in Magento and Klarna is now included with Magento by default. You can find the settings under System > Configuration > Sales > Payment Methods > Other Payment Methods.
Here is the setup information in the Official Magento Documentation.
So, it looks like you don’t need to do anything.