Yes, which would make sense why Costello set up the Chinese gang with the fake microchips at the border. Since Costello should be constantly informing the FBI of the proceedings, they would have already known the deal has gone bad. Also the fact that there is a surveillance camera blind spot so huge that both gangs could comfortably talk says a lot.
In the scene where they introduce the top heads of Costello's group, Agent Frank Lazio looks very unreliable for someone who is showing cooperation. A few months later (or wherever in the story line Billy leaves jail), we have Ellerby introducing Dignam. Dignam throws an insult to Lazio (who comes in late, notice how the movie is showing us the small role he plays) and Lazio doesn't even defend against.
After the fake microchip bust, I don't think we see the FBI again. Whether or not this was a big hit for the FBI? Who knows. But for whatever reason, I am sure they were aware of what Costello was doing and thus didn't even have to tail him like the Massachusetts State Police did near the beginning.
To the Massachusetts State Police, Costello was the local big shark to be caught. To the FBI he was a playing card to capture everything around him, so I do think that the FBI had a part to play in impeding in the investigation.
Something to think about
During the microchip bust, supposedly the Patriot Act was in order. Does this mean that the FBI already knew Colin was the mole in the department? Or had the recording not start yet?
When Costello is about to die, Colin asks him repeatedly if he was known to the FBI to which Costello replied
I never gave up anybody who wasn’t goin’ down anyway