I think they are saying they are not a religion so that they are not eligible for certain benefits (such as the subsidy they no longer get). So it's probably a technical or legal term. In the practical sense, I'm sure they understand that it is a religion.
The WTS can simply spin it as religious persecution and lump Norway in with Russia. The big difference here is that they're losing out on a lot of money (wasn't it two or three million dollars a year?) and they have no real gripe, as they do with the treatment of JWs in Russia. In Norway, they are still free to practice their religion as they see fit, they simply are not getting rewarded for it with money and perks.