I think it's an important lesson to see what kind of power the State can have over people if rights and freedoms are abolished. NK is an extreme, I admit, but... it shows you that it can definitely be done, and is still being done today. These people were raised to think Kim Jong-il and his family are akin to the divine right of kings. Imagine one of your holy beings suddenly dying. It wouldn't be much different than suddenly finding out that you just lost your savior.
Others in this thread are right though... there is also pressure to grieve because the State is watching and they will use their opportunity to spot non-conformists. And surely there is some Stockholme syndrome in there too.