Lieutenant Robarts, the Milwaukee PD detective in charge of the scene, acts surprised and irritated when the FBI shows up and takes over the crime scene. This would be standard procedure in a bank robbery, all banks are insured by the US federal government, which makes all bank robberies the jurisdiction of the FBI. Typically when a bank robbery occurs local police arrive first and secure the scene, or set up a perimeter in the event of a standoff or hostage situation, and then hand the case off to the FBI once they arrive on scene.
This episode takes place in Milwaukee, Wisconsin. Milwaukee, WI does not have a "City Bank" and furthermore, their police department is not called "Milwaukee City Police". It is called "City of Milwaukee Police Department".