These operating systems do actually contain code that add a signature belonging to your install of the machine to pictures and video files, so be wary if spreading your hentai porn in Kim's country because it can be traced back to you.
That said, there's a lot of panic about fears of having it reach out across the internet and infect your entire network without any real basis. If you're comfortable with running Windows 11,you're already sharing more data than the DPRK could possibly want to extract from you, only the DPRK can't use that data and the Five Eyes most likely can.
The Glorious Leader liked his Macbook so he ordered his lackeys to build North Korea their own Macbooks with a shitty font and tracking submitted to their services instead it Apple's.