Only half the assets needed to cover South Korea are in place, and the rest will not be coming due to Chinese protests. I suspect the trajectory took it out to sea and not toward any covered target, so the interceptor would have had to chase the NK rocket, not conducive to shooting it down. The US systems used to be set for interception from the front of the flight path. I am not sure how much that has changed now.
Maybe they did try to shoot it down and missed.