I can't think of any occasion, ever, where a president asked the head of NSA or CIA to render a public opinion about a specific case or absence of a specific case. So, in that sense, it not only would make them feel odd, it is in fact odd.
The NSA and CIA are fundamentally "information departments," more like a "help desk" than a consumer of information.
The press wants the reader to jump to the conclusion that the request is asking them to do something wrong, lie, or otherwise act unethically. The fact of the matter is, the request was odd the same way asking your auto-mechanic to babysit is odd. The request asks them to go far afield from their role.
I see your point. Thanks for providing a little clarity. :)