One reason I can think of would be because it's "not done" in international diplomacy to publicly admit of hacking. I don't think any country ever openly admitted to building Stuxnet and other "cyberwar" botnets either. Or maybe they did eventually (not sure), but only after very long suspicions. They could still tell NK of it privately, threaten them in an indirect way.
Note that I'm not saying they did this, or have good reason to. It's just that I'm a bit suspicious of anything Anonymous related after the Sabu/Lulzsec story, especially when it relates to propaganda like this.
That's besides the point, it's about political spin. NK has a history singling out USA and SK for actions that sometimes aren't even related to that country at all.
Note that I'm not saying they did this, or have good reason to. It's just that I'm a bit suspicious of anything Anonymous related after the Sabu/Lulzsec story, especially when it relates to propaganda like this.