It doesn't make a lot of sense. However, at that point Pussy was all over the map loyalty-wise and delusional -- remember the Pokemon hijacking fiasco around the same time. When Pussy gave Lipari the scotch, he referred to it as "turning a blind eye." I think the FBI had a pretty good idea that Pussy was involved, but would rather snare Tony since they already had Pussy in the bag for major crimes.

The bigger blowback would have been to Lipari. Here he's supposed to be Pussy's handler, yet on his watch, Pussy goes out and commits a murder. That has to be a career-ending move.