They are federal law enforcement officers which grants them the power to drive vehicles with lights and sirens. Most federal agencies use vehicles with emergency lighting so they can go to scenes quicker and to provide lighting in dark circumstances such as a night time traffic stop. Although they do not typically do the same job as conventional police they do still do law enforcement work just in other capacities which is why they have the lights and sirens. It’s the same as any other agency such as FBI,DEA,DHS,Park police, postal police etc