Actually, they can build a real nuke...but not with 37 pounds of HEU.
What truly bothers me is this: what if that 37 pounds is not the whole of the shipment, but only part? It would make sense not to ship the entire 110 pounds necessary for critical mass in one shipment. When HEU is gathered in quantities at or above 110 pounds, it doesn't require a detonator...it can go off by itself (hence the term "critical mass").
But would they pursue the highly enriched stuff for a dirty bomb? Or is there something that would work as well that is easier to get?
Yes. Radiologic medical waste...but that too is highly controlled and supervised from cradle-to-grave.
All told, radioactive materials are difficult to come by. For every Uranium bomb there is, 25,000 tons of Uranium ore had to be mined. From that, only 50 tons of Uranium can be claimed...and most of that (over 99%) is U-238, which is non-fissionable. That's why the typical fission bomb of today uses Plutonium instead. Much less costly.
Maybe this was destined for some other wannabe? Iran?
Iran has its own breeder reactors now. They wouldn't need to import HEU when they can bake their own made-to-order Plutonium at their leisure.