A person walks into a store and steals a loaf of bread. Have they engaged in theft? There can be very compelling mitigating circumstances and factors that can help explain their action (perhaps their family is starving), but this does not change the fact that they have now engaged in a criminal act and should be treated as a suspect, though of course with the presumption of innocence until proven guilty.

The caravan engaged in numerous criminal actions and likely conspired to engage in further criminal action at or within the US. Not investigating this would be remiss of the government, regardless of whether or not they find such actions justifiable. If we only investigated those we did not like or defended those we did, we'd have quite the broken system -- and, in fact, such systems were the norm for much of society's existence. Suffice to say such systems were not conducive to justness or fairness.