North Korean leader Kim Jong Un's invitation to Mr Moon for a summit in Pyongyang has also left Tokyo anxious.
Kim Yo-jong's high political status in the regime and blood ties with the leader have raised expectations that she would come to the South with a personal message for President Moon from her brother.
On Saturday morning, after the opening ceremony, Pence tweeted his agreement with former Ambassador to the United Nations John Bolton, who had said on Fox News that the positioning of North Korea near South Korea at the opening ceremony was a "propaganda charade" by North Korea.
Not everybody was so taken by the show of Korean unity, with U.S. Vice President Mike Pence remaining seated as the North and South Koreans entered the stadium.
A Kyodo News Agency poll also found that 53 per cent of Japanese favoured ramping up pressure to make the North give up its nuclear and missile programmes.
It's still unclear whether Saturday's event could be used to set up bigger meetings between the Koreas.
"I think Kim Jong Un is really a bad person and a villain", said Park Keon-ho, 24, a computer science student at Korea University of Technology and Education.
"That's the face of the Kim family, which wouldn't even flinch when tens of thousands of people died for it", one Twitter user wrote.
Kim Jong Il traveled to Beijing to meet then Chinese president Jiang Zemin before the summit.
Not at all have been cheered by the talks.
After sitting at a table, Kim Yo Jong placed a blue document folder in front of her.
Kim Yo Jong and North Korea's Kim Yong Nam at the women's hockey game between Switzerland and the combined Koreas at the 2018 Winter Olympics in Gangneung, South Korea on February 10, 2018.More news: Real Madrid to sell Isco in order to recruit Hazard
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The prospect of two-way talks between the Koreas, however, may not be welcomed by the United States.
As First Vice-Director of the Central Committee of North Korea's ruling Workers' Party, Kim has been an increasingly prominent figure in North Korea's leadership and is considered one of the few people who has earned her brother's absolute trust.
North Korea's nominal head of state Kim Yong Nam also partook in the historic luncheon with Moon.
A senior White House official confirmed that Moon told Pence he'd be attending the game with the North Korean delegation. They were stopped and most were killed near the palace, which was newly rebuilt in 1991.
Moon and Kim Yo Jong will have another opportunity to talk when they attend the second and final performance by a visiting North Korean orchestra on Sunday evening in Seoul, a Blue House official said.
"Working in unity on the way to unification", Kim Yong Nam wrote in the guest book.
But Pence drew the greatest reaction for where he did not appear: most pointedly, at a dinner Moon hosted before the opening ceremony.
"The distance between Pyongyang and Seoul has become closer in our hearts", Kim Yo Jong wrote. Analysts say that the missiles, which were successfully flight tested three times past year, could potentially reach deep into the USA mainland when perfected.
Any meeting would represent a diplomatic coup for Moon, who swept to power previous year on a policy of engaging more with the reclusive North. It was built in the 1960s as a luxury facility for US troops stationed in the South.
"The South and North shared an understanding that they should continue the positive mood for peace and reconciliation created by the Pyeongchang Olympics and should promote inter-Korean dialogue, exchanges and cooperation", Moon's office said in a statement.
They were on both sides of the ice, chanting back and forth.
The North has sent almost 500 people to the Pyeongchang Games, including officials, athletes, artists and also a 230-member state-trained cheering group after the Koreas agreed to a series of conciliatory gestures for the games.