While this might seem to imply complicity in Baldr's death, it is equally capable of being interpreted as an admission that it is on Loki's account that Hel's condition for Baldr's release cannot be realised, because a single giantess would not weep for him. This is not, I hardly need point out, the same thing as an admission of being involved in Baldr's death. Hod is the only one directly implicated in every single instance where Baldr's killer is mentioned. Even the assertion that Loki is indirectly implicated is so tenuous that it can be easily dismissed if one does not accept Snorri's version with blind faith. Despite the weight of evidence to the contrary, even if we work from the premise that Loki was responsible for Baldr's death, I'm not at all certain it was such an awful thing.
Nothing lasts forever, and even Gods can die.
By attempting to extract promises from everything not to harm Baldr, Frigg is attempting to distort the natural order of things. When this isn't successful and Baldr is killed anyway, again the Aesir seek to wriggle out of the inevitability of death itself by bargaining with Hel to release Baldr back into the world of the living. Living is living, and dead is dead. By refusing to weep for Baldr in the guise of Thokk, Loki assures that this very basic rule of the universe holds. On reflection, this could be interpreted with an even broader perspective.