The "they" he's speaking of is two different entities: the NBA, and the federal government. The NBA is not investigating Benghazi (or the IRS), and the federal government is not investigating Sterling's tape.
I disagree. I think he was referring to the media..... The US gov't prevented the media from snooping too deeply into Benghazi. OTOH, the media had complete, unfettered access to Sterling's entire personal and business lives...