1)SLC PD has had some embarassments in recent years and the mayor is keeping a close eye on them. I think they may want to prove something.
2) The case is only one week old, they have apparently collected a lot of evidence and they appear to be very confident they can solve this themselves.
3) Once the FBI is brought in, they can sometimes irritate the local cops by throwing their weight around. Depends how well the local PD gets along with the people in the FBI field office.
I seem to recall that the Feds annoyed the SLCPD while investigating the "Salamander Letter" bombings back in the 1980s.