Being caught making one is a terribly bad idea. Having one (or more) would be an enormous plus from a diplomatic standpoint especially after a test, having them in undisclosed locations and too many to knock them all out in one strike is even better. Not that that's a world we should prefer to live in but history has shown that the quickest way to increase your diplomatic clout as a nation is to join the nuclear club.
The tech is (relatively) easy, it's getting that materials that is (fortunately) hard. But there is enough of it in enough places with imperfect oversight that it is a source of concern.