Plus the FBI doesn't have that many people. They often have to rely on cooperation with local law enforcement agencies.
The reasons to do this would be:
a) To establish the legality of the practice, in case it needed to happen on a mass scale.
b) To avoid putting terrorism suspects into civilian courts.
Contrary to the opinion of the Duke professor which the Slimes interviewed, this situation has undoubtedly happened, at least in a practical sense, after the Civil War.
The roundup of Japanese-Americans in the western US for deportation to detention camps was done by the military in 1942, in accordance with an executive order from the "liberal" president Franklin D. Roosevelt. One can be certain that at least a few of these folks didn't cooperate voluntarily and were detained by the military by force.
Perhaps the good professor drew a blank on this because it occurred during a Democratic administration.