Why would they want to? If they wanted naval bases facing the North Sea they were spoilt for choice in Scotland, and there's certainly no economic reason to annex these worthless islands. Although they had a lot of diplomatic capital, they were still negotiating, not dictating, the peace settlement; better to concentrate on areas with some sort of economic or strategic importance.

The UK saw an opportunity to get Sweden to switch sides, from Napoleon's to the British side.(not sure about the year, but probably a few years before 1814.) To get the Swedes to change alliances they were promised to be given Norway from Denmark/the Kingdom of Denmark-Norway. The Danish king was allied with Napoelon. Norway was given to Sweden through the Kiel-treaty which made Norway a "free" country in a union with Sweden.

So, diplomacy is the answer. Norway had been promised to Sweden by the UK.