ON his first visit abroad as the new Soviet foreign minister, Boris Pankin said the purge of KGB and other intelligence agents from the Soviet foreign service had begun.His remarks at a news conference in Stockholm came while the expulsion of Igor Nikiforov, a high-ranking diplomat at the Soviet Embassy and alleged KGB chief in Sweden, was still fresh in the minds of Swedes. Just months ago, such an action would have met with official silence or denials from Moscow. Now Mr. Pankin, a former Soviet ambassador to Sweden, said he and the new KGB leadership will "decrease the presence of intelligence personnel to the lowest minimum required by national security interests." After announcing that KGB officials had already been removed from the Foreign Ministry's personnel department in Moscow, Pankin surprised his audience by suggesting that both they and the Kremlin leadership may have been deceived about whether Soviet submarines have penetrated Swedish waters over the past 10 years, and promised an investigation "of whether there might be something that the former leadership of certain organizations in our country has tried to hide." Foreign observers and Swedish analysts not bound by official policy have said that Soviet forces - mostly naval Spetsnaz special forces - have been operating with relative impunity along Sweden's Baltic coast. Pankin asked the Swedes for "all-out assistance" for the coming winter.