The more serious threat is the artillery pointed at Soeul...
Seoul is under continuous threat of thousands of artillery guns, basically lobbing enough boulders to level the city (which contains 1/4 the population of South Korea) in about a half-hour. No modern technology is capable of stopping that kind of low-tech assault on that scale.
North Korea is akin to a drunk with a double-barreled shotgun and Tourette Syndrome: acts irrational, says disturbing things, can cause a lot of harm to one person, and will be put down fast once he does - but can't be stopped prior because attempting to will cause him to harm someone. The hope is to keep him just content enough, as long as it takes, that he'll give up or self-destruct on his own.
The artilery that North Korea has pointed at the south could be just slug launchers i.e. imagine a giant sized bullet. Because a slug has not fuel or explosives to detonate you can't really stop it by hitting the round with something else.
The conventional weapons that North Korea could use against Seoul are from the other end of the spectrum. Nearly all of them are patterned after Soviet versions which were designed to fit in a doctrine that favored the deployment and use of large numbers of heavy tube and rocket artillery. North Korea possesses large numbers of 153mm and 170mm guns and 240mm multiple unguided rocket launchers. Many of these are in fortified positions that are within range of Seoul.
Source: http://www.iiss.org/publications/strategic-dossiers/north-ko...
Artillery shells contain explosives in the nose.
I also wonder if there is a back channel somewhere where they tell the Chinese, who would then presumably tell the US, that they really are just posturing and there is no real threat.