Yeah, I don't see how he would have to arrest her as an FBI agent. Maybe a minor federal offense? But that goes to my point that we don't know his work history because the information we have is muddled. We know he worked in law enforcement when he was married to Murphy, so almost certainly in Chicago. Then he worked in New Orleans, then Chicago as an FBI agent.
I'm willing to accept that he was a cop in Chicago and then New Orleans, and came back as a cop and applied to join the FBI and got accepted. The big question is just how much he might know about the supernatural world. If some, then the Feebs might put him on a secret group like SI. If none, then he's probably just a regular special agent.
This may be tangentially related to the FBI agents but there is a WoJ that says Marcone and Hendricks were both Marines. The FBI trains Agents at Quantico and frequently have prior service in the forces before becoming Agents. The potential for people who knew Marcone pre-baron days serving in the FBI is totally there.
I had started writing a fanfic ages ago about Marcone being exposed to the supernatural during his time in the military, but stopped when Butcher said he was going to be doing short stories from his perspective. (I prefer to write peripheral stories that won't be contradictory to canon)
I could see there being a section of the military that knows about the supernatural, and if Marcone crossed paths with them, they could have him on a list. Such connections could easily lead to contacts in different agencies, like you're describing.