I’m pretty sure they do. Just because it is rare doesn’t mean they don’t at all. Only a handful of US members of congress, and executive leaders have been arrested. In fact, this often happens during the close of one administration and into another.
If you’re asking why the FBI so rarely arrests Presidents, Vice Presidents, Supreme Court Judges, etc; it could be due to the extreme vetting process that keeps these arrests to state officials who go through rigorous background checks before they’re allowed to proceed to any office in the federal government.
Just because they’ve never arrested the federal politicians you think are guilty isn’t proof they’re corrupt or prevented from doing so in any way. Though, it is perfectly reasonable for you to suspect such a thing.