Yes, the Norwegian royal family are Lutherans and come from a line which has been Lutheran since the "Reformation." Like most contemporary royals, they generally keep their political opinions to themselves, though Princess Märtha Louise's husband, who is not technically a member of the royal family, recently caused a stir by declaring his support for the Labour party. It is probably safe to assume that the Norwegian royals are "centrists" (liberals by traditional Catholic standards) who believe in "tolerance" and "democracy" and all the other things that modern Western people are supposed to believe in. (I like to hope that there are at least a few royals who secretly don't, but it's hard to tell....)
Crown Princess Mette-Marit, formerly Mette-Marit Tjessem Høiby, was originally quite controversial--even in liberal Norway--when she became engaged to Crown Prince Haakon, as she had a[n illegitimate] son from a previous relationship and supposedly had a "wild" past involving drugs. However, since her engagement she seems to have made a sincere effort to repent, reform, and put her past behind her, and is now a hard-working and popular contributing member of the royal family. I watched their wedding live on Finnish television in August 2001. In addition to her son Marius, who I think is now about 10, she and Crown Prince Haakon have two children together, Princess Ingrid Alexandra (b. 2004) and Prince Sverre Magnus (b. 2005).
I don't know what websites you looked at, but these might be helpful:http://www.kongehuset.no/default.asp?lang=eng
(official site, in English)http://www.aftenposten.no/english/royals/