Yeah, I'm a bit confused there is no option "he has at least one non-green hat", which is what I would answer.
Perhaps that means I'm wrong.
Whether you are wrong depends on whether you interpret his statement in a mathematical or in a colloquial sense. Colloquially, if I have no cats and tell you "all my cats are brown", you'd say that I'm lying, beause I'm implying that I have cats. Mathematically, if I have no cats, then it is true to say that all of the ones I have, which are zero, are brown.
Agree it must be true that it has at least one hat, and it must be non-green (he might have other green hats).
"Which, if any, of the following statements can we conclude from what the liar has said?"
It's a multiple choice question, it's asking "which of the following is necessarily implied", and A is the only one.