Abraham
Footballguy
They don't know of the existence of Lydia and the Nazi's. All they have is Walt's call to Jesse confessing to older stuff and his call to Skyler where he said the he, Walt, killed Hank.Now that the cops are involved and all the cards are on the table it would be realistic to imagine that the DEA will go after Lydia and the nazis.
. but considering how powerful that whole sequence was, he did a really good job with it.
at Jesse performing ninja moves in the background while Walt was on the phone. I'm sure Aaron Paul had a blast getting to be "old Jesse", even if only for one scene.