THAAD, the anti missile system you're hoping will defend you, does not work against ICBMs. THAAD only works on short to intermediate range missiles, since they fly low enough in the atmosphere to be targeted. ICBMs fly out, and spend most of their time out, of the atmosphere, where THAAD isn't capable of intercepting. NK has demonstrated they are at the cusp, or already have, ICBM technology. And the only type of missile that NK could hit the U.S. with is an ICBM.
Also, the reason they're building nukes is because they're scared of their regime being ended. They won't stop if you demonstrate their own deterrent isn't effective, you'll just encourage them to develop further. If you intercept a missile, they'll just build a better missile to try to circumvent your system. These missile systems are not foolproof, and current iterations don't have a 100% interception rate even against intended targets. Literally, all NK would have to do would be to fire an ICBM along with several dud missiles to overwhelm THAAD. It's the same principle of deploying flares against guided missiles, where you present too many targets for it to effectively focus on one.