Plus the journalist from WSJ did more for them in helping them find Billy than the FBI did. And recovering the body was also a huge ordeal that the parents basically did on their own.
Assuming the FBI asked him not to go, why and how should they FBI put resources into finding out what he did and what happened to him? Whether the FBI sent him there or not, he decided on his own to stay beyond his plan, and then enter a war zone. Everyone who does some contracting for the FBI deserves world-wide babysitting service?