I would not expect anything less from the dedicated LEO's at the Federal Agencies. And a good point about making arrests, but isn't the heavy lifting a job for the FBI? The Attorney General, to whom the FBI reports, is the Country's "Top Cop". Separate Federal Law enforcement agencies that do not report to the Attorney General do not make sense (unless, of course, they are investigating the Attorney General!)
The question, I guess, is why does each Agency need its own armed investigation force?
Well, I'm at a pay level a bit below that where these decisions are made, but I can give you some practical perspective. You'll have to decide if it makes sense.
First, I'd reiterate that each OIG office has a dual function--audit and investigation. They often work together, particularly when audits trigger suspicion of criminal acts. I'd opine that it's always a good idea for a federal agency to have an internal auditor, as a very basic guarantee against fraud and waste (yeah, I know, but it does seem to work).
There are a couple of arguments for agency-specific LEOs: First, the FBI is spread very thin and they have a huge range of statutes and programs within their jurisdiction. My experience is that the amount of attention they can give to a particular "program area" is subject to wide variation. For instance, after 9/11 white collar crimes fell off the radar and it was like pulling teeth to get FBI support for those investigations. When agencies have their own criminal investigators, you can be reasonably certain that they will continue to focus a fair amount of effort on the crimes that would otherwise drop off the FBI's radar screen.
Also, there's something to be said for having agents who are specifically assigned to the programs and products that fall within an agency's purview; at the onset of any investigation there can be a huge learning curve. If a DOT agent, for instance, is familiar with how highway construction works and knows the types of fraud that are often perpetrated, it can result in a more efficiently-run investigation with a higher likelihood of catching the bad guys.
Anyway, my personal experience has been that it works. I recognize that overlap is not always a good thing, and that there are contrary opinions. Whatever your opinion on whether these agencies are wasteful, I can tell you that my experience is that the OIG agents are pretty uniformly excellent (as are the FBI types with whom I've worked).
(BTW, none of what I say constitutes the "official opinion" of my employer; these are just my personal observations and opinions . . . as is the case with everything I post in these forums).