There is a lot LE can detect from being able to ask them question face to face, one question right after the other, without knowing what will be asked. LE looks for consistency, or inconsistencies. Also their body language, expressions, etc. May not be just one particular question but a combination of questions that will give LE what they need to know to either move past them or make them suspects.
As opposed to JI/DB, along with their attorneys, taking their good old time going over the questions and deciding how to answer to make themselves look better before getting back to LE.
Besides, it's just not how it's done in an investigation. They don't dictate how it's to be done, most especially when it was they themselves who brought focus onto themselves, at least DB. Everyone that may ever be suspected of anything should be so lucky.
Where in the Constitution does it state that they have the right to be questioned together or the right to field questions from the comfort of their living room?
They are not suspects, it is their right to decline all questioning if they so choose. I didn't make up the rules, but there they are.