Perhaps McVeigh, who always thought of himself as a patriot, did not want to disclose information that would associate himself with foreign terrorists and brand him as a traitor.
McVeigh did serve in the Gulf War. However, he questioned whether he was doing the right thing. He said in an interview, ""I thought ... what right did I have to come over to this person's country and kill him? How did he ever transgress against me?"
"What did we do to Sudan? What did we do to Afghanistan? Belgrade? What are we doing with the death penalty? It appears they use violence as an option all the time."
Asked whether it is acceptable for citizens to use violence if the government uses it, he said, "I'll let my explanation stand for itself."
IMO McVeigh would rather be viewed as a patriot taking on the USG over Ruby Ridge and Waco than assisting AQ and Iraq in retribution for the Gulf War.
Again, think of it this way: all EITHER attorney had to do was to introduce just enough evidence to create reasonable doubt and McVeigh doesn't die and Nichols gets a lighter sentence.