When Rossi and Prentiss look at the map of robberies and murders, Jon and Bella Richardson's murders are listed. But Jon and Bella weren't murdered until later.
While it is true that Timothy McVeigh bombed the federal building in Oklahoma City and was apprehended in Perry, OK, which are both about 250 miles from Guymon, OK, the entire state of Oklahoma was flooded with federal agents after the bombing including FBI, ATF and US Marshals. So it is very likely that the Guymon Police Department worked in conjunction with federal authorities to search for McVeigh.
The sheriff said "the last time the Feds were here was when they caught McVeigh." Timothy McVeigh was caught near Perry, OK and this episode is set in Guymon, OK - 250 miles away.