They did not have jurisdiction.
Just one excuse after the next.
If it were an ordinary citizen, the unflustered cops would have said, "Come in tomorrow morning and give us a statement."
The only reason to force the interview a "suspect" at 7pm is that they were a flight risk. And I don't see where the locals objected to this arrangement.
If they wanted to issue an APB on Cheney, the SS would be obligated to turn him in.