You might get certain bandwidth advantages with an Swing based application because the server has to send only the required data in case of socket call from Swing instead of the whole web page(including the HTML, images, CSS etc) as would be in case of web applications.
However an application developed with Swing is always a client-server application and never a web application. You would have to always first distribute the client(which gets heavy and download cumbersome) as the application size increases and then have it call your server application.
Whereas with a web application all your changes are centralized on the server and the client can access using a web browser. While Swing might offer you marginal benefit in terms of bandwidth initially, it will always be slower and hog bandwidth when you are trying to distribute the client exe through a central server.
In a nutshell; DON'T use Swing for a web application!! If you design your web application intelligently(with less/smaller sized images), it would be less bandwidth hogging.
