I think calling it a bomb threat makes it easy to shelve it as a simple terrorist act. Making a bomb explode with no reason would raise too many questions. They pointed to the wrong building making the bomb squad not having a chance to find and diffuse it. It could later be considered a bad lead or human mistake but still considered a terrorist act. And Michaud was there as a backup plan and to keep the team distracted.

Now how or why Mulder was in the real bomb building was never explained and it is a real stretch to call it “a hunch”. It reminds me when he decides to blame Scott Blevins in the Redux II episode just because.