I doubt they would be able to give the foreign stuff they worked on. But the domestically made shows and movies are usually sold by Mokran Video (the main dubbing/localization and media company in the DPRK). The embassy staff will probably just tell you buy the licenced international versions (usually some Italian, Chinese or French company owns the copyright to it and have some generic english dub with the usual VAs for anime and video games) or watch it online, since those can easily be found on youtube and some other video hosting site.
Most of these DVDs are sold on Mokran Video stores that exist in most of the country, I think there some videos on youtube with people buying these dvds.