If i understand you so well, you are literally saying the Korean government is sponsoring the Lazarus groups who keeps hacking exchanges, or you are just asking to be sure? That will be a false accusation because no government will publish any news that they are in support of cybercrime. If investigations is done and they have to trace all the money stolen from these CEX exchanges down to the Lazurus group, then the Korean government will be causing a conflict between nations.
It is true that Government's frowns at cybercrime and it is their responsibility to fight against it which is expected but when seeing such rumours or news, it isn't welcoming and if found to be truth then the government isn't encouraging her citizens and the world frowns at such act.
What truth? The highest form of crime is done by the government, don't you know? The media and internet will let you believe what they want you to believe because they are controlled by the governments. This could be a rumor or the truth but still people won't believe even if it is the truth because they still have this mentality that the government is against crime. Like as @Pooya87 already stated "considering the source is US justice department", it is more likely to be a rumour