Personally I would rather not set a precedent of handing data over to government agencies just because they ask nicely, even if it seems like it's for a mutually agreeable good cause. That is, I would rather they go through these "formal" channels, even if it seems a bit heavy-handed.

Further, whatever they're investigating here is probably "important", for some definition of important, so they likely value the ability to lean on non-disclosure clauses etc.