When you måste (must), vill (want to), or ska (in the sense have decided to) get somewhere, and the focus is clearly on your arriving there, you can skip the verb of movement in Sweden.
Jag måste till skolan I have got to get to school.
Jag vill hem I want to go home.
Jag ska på ett möte I am going/am on my way to a meeting.
Think of it this way: you're so focused on getting there that in this speech situation, it doesn't matter at all to you how you're going to get there.
ska in this usage can also mean to be headed somewhere
" you're so focused on getting there that in this speech situation, it doesn't matter at all to you how you're going to get there"
Thanks Arnauti, this has made a few things click in my head. The lack of the equivalent for a general "go" in Swedish ("gå" is most often associated with walking, "åker" with motorised transport, etc.) often left me perplexed as to how I would express my inclination to move - I'd always have to question exactly how I would get there. But of course, in Swedish, that verb is not even necessary!
I presume that this formation pre-dates the more motorised forms of transport, and is therefore not a result of such - a way of simplifying conversation, if you will. But perhaps a more generic "go" was never developed because of the exsitence of this formation?
Where is "go" in this case? Or, to make another example, what if the English were "I have to write a report," or I have to shred a report"? Certainly "måste" doesn't mean "have to go," "have to write," and "have to shred"--and it seems unlikely there would be three different lexical items for each of these "have to x" constructions.