I don't know if every federal agency has armed agents, but it is definitely trending that way. I know the Veterans Administration has them, I knew a guy who was basically a cop who investigated false claims against the VA.
Every niggling little rule needs its own cadre of enforcers it seems.
Almost all federal agencies have their own IG sections now. Most are involved in investigating fraud by people those agencies serve. For instance the Dept. Education has investigators that go after fraudulent grant usage.