If the OKC bombing were a Reichstag fire, then government involvement would of course have to be suppressed. (Note that there were many stories of government prior knowledge, such as the ATF agents getting a page to not show up at work that morning). By way of a motive, note that the anti-terrorism legislation that sailed through Congress after the bombing had failed to get through before it.
Less sinister, but still pretty sinister, is that the bombing may have been a sting that went sour ... again government involvement would be better suppressed. This too would explain the work-optional page for the ATF agents. There is precedent for this, namely, that the original WTC bombing, with the truck bomb, was indeed a sting gone sour.
From another angle, if there were political expediency to have going after white militia types, rather than Arab terrorists, then participation by others, and especially Arabs, would have to be suppressed. In this case, note that the shootdown of TWA 800 was effectively covered up by the combined efforts of a variety of government agencies. Interestingly, several Clinton operatives in the days after 9-11 cited TWA 800 as one of the many terrorist attacks that had happened in the years before, contradicting the NTSB's own decision that the crash was due to mechanical failure (and that the witnesses who thought they saw missiles must have been drunk).
Yet another is that the government really wanted to convict McVeigh, for whatever reason, so they wanted to convince the jury that he and he alone did it, such that they would be more likely to convict and sentence to death, than if others were also involved.
Then again, far be it from me to discern the depths to which the federal government operates. There may be yet other reasons why suppressing evidence of others was undertaken.
But in any case, and whether the reasons I have given are satisfying or not, the fact remains that at the trial the point was the McVeigh was the "lone" bomber, and that interest in John Doe #2 vanished, such that those who saw him with McVeigh weren't even called to testify. If you reject my reasons, then feel free to yourself come up with why it was so important for the government to make the case that it did.