North Korea built a nuclear weapon because they're acting rationally. Nuclear weapons provide them legitimacy and bargaining power, both domestically and internationally. It's the same reason Iran wants a nuclear deterrent, or anybody else for the matter, like the U.S., China, or Russia. When you have the bomb, other powers tend to tiptoe around you--see, e.g., how Pakistan sabotaged US interests in Afghanistan with no discernible repercussions.

The real threat from North Korean nuclear weapons (other than empowering North Korea geopolitically) is in proliferation. And that's probably one (albeit minor) reason everybody tends to look away when they skirt the embargo.