pole - Why does the Moon never set in Svalbard, Norway?

You must have misheard it, or the documentary you watched wasn't presenting very precise information. It does set but it also stays on the night sky for several days during the polar winter (polar night) when the Moon if full. This is relatively simple to imagine, so I'll describe it;

So what's happening is that the Earth's axial tilt during the polar winters leans the whole Northern hemisphere towards the night side, away from the Sun. This tilt is big enough (~ 23.4°) that the night sky objects aligned with the Earth's equatorial plane stay visible relatively low on the horizon. With those regions being either relatively flat and/or with a view towards the sea, there's not many obstructions limiting the viewing angle, so the Moon (and analogous also the Sun during polar summers) stays "locked" low above the horizon. To help a bit with imagining this, here's an animation of the Earth's axial tilt, courtesy of Wikipedia:

                                                   

If we imagine this animation of the Earth with the Sun in the distant left of the image, so during Northern hemisphere's winter (winter solstice to be precise), and the Moon to the distant right of the image (roughly 25 widths of the image away), so when it's either full or close to this lunar phase, it's not too difficult to appreciate that the northernmost polar regions have a direct line of sight of the Moon during Earth's full rotation on its axis, or a day. If you keep in mind that other celestials, including the Moon, are oblivious to the Earth's axial tilt (well, not exactly, but let's not nitpick about tidal effects that might take millions of years to make a difference), as the Moon moves farther in its orbit, in our case towards the viewer, this observation angle decreases further still and those northernmost latitudes hide to us for some part of the day. At lunar last quarter, it would be directly towards us relative to the image, so this direct line of sight relationship between the Earth and the Moon becomes reciprocal to how we're seeing places on the Earth on the animation.

Why when the Moon is full? Simply because that's when the Moon is also behind the Earth (but not in its shadow), so the relative angle between the observation point and the Moon would stay high enough to observe it. As it moves in lunar phase and in orbit around the Earth farther, this angle becomes lower and the Moon indeed does set also in the arctic region. For what is worth, this goes exactly the same for South pole, only with a half a year difference.

One other effect that plays a role here is the Earth's atmospheric refraction which also adds to the duration during which the Moon appears not to set. Meaning, that even when the Moon wouldn't be in direct line of sight, but only marginally so, it would still appear low on the skies due to optical effect (displacement) of the atmosphere. This effect would somewhat offset observing the Moon from lowlands with possibly shallower observation angle when compared to higher altitude observation points with less direct line of sight obstructions, due to denser atmosphere and thus higher refraction index.