He said the North was using the Winter Games for crude propaganda. Then when the Korean team entered the stadium under a unified flag, Pence sat stone-faced while Moon and North Korean officials stood together in applause.
The US administration has sought to maintain pressure on North Korea through sanctions and tough rhetoric from President Donald Trump.
The North's invitation comes as the United States is escalating pressure on the reclusive regime to give up its weapons program.
It was an extremely busy day for the South Korean President on Friday as he held separate one-on-ones with world leaders.
"For now the North is asking for a price that is too high, and the USA is not willing to buy at that price", Kim told Seoul's JoongAng Ilbo daily. Moon in particular made a strong push for direct dialogue between North Korea and the United States.
"But we're gonna make it crystal clear that our military, the Japanese self-defense forces, our allies here in South Korea, all of our allies across the region, are, are fully prepared to defend our nations and to take what is - action is necessary to defend our homeland", he said.
Choe is subject to a travel ban and assets freeze under a U.N. Security Council resolution adopted June 2, but a U.N. committee on North Korea sanctions on Thursday granted him a temporary exemption to attend the Winter Olympics.
A senior White House official said Pence was not trying to avoid the delegation from North Korea but rather ignore them, according to the AP.
The South's Unification Ministry said steps to improve ties would be led by the two Koreas, but with the support of the global community.
Any summit between the two still-officially warring Koreas would be a coup for Moon, who has been pushing for a diplomatic solution to the standoff over North Korea's nuclear and missile programmes.
And on Friday, Kim Yo Jong, the younger sister of North Korean leader Kim Jong Un himself, arrived for the first-ever visit to the South by a member of the ruling Kim dynasty.
Jong also called the chance to play in front of her country's leaders "the greatest honor", while her South Korean teammate Park Jong Ah remarked, "It was nothing special".
North Korea has been accused of involvement in a number of cyber incidents, including WannaCry - although it has slammed that accusation as "absurd".
Dozens of protesters demonstrated outside the concert venue, with waving banners condemning Moon and Kim Jong-un. It replaced the National Defense Commission, the most powerful office under his late father Kim Jong-il.
Pyon said he was happy to see the Korean hockey team competing with a "single-minded" unity, saying the two Koreas could also field a joint Alpine team in the future.
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