It does make sense to have someone who coordinates all the different federal police and intelligence forces in the country. The US has TSA, ATF, FBI, CIA, NSA, DEA, Secret Service, Federal Marshals, even the USPS has a police force.

Without some kind of coordination you have undercover agents of one service being wiretapped and followed by another service. Plus, you get the kinds of things that happened around 9/11 where each agency had a slice of the picture but they weren't sharing info so nobody had the whole picture.

I think in a sensible country ATF would be the alcohol branch, tobacco branch and firearms branches of the federal police force. DEA would be the drug enforcement arm of that federal police force. It seems really strange to me that the FBI is basically the federal police force, but for some reason when it comes to firearms-related crime, that's someone else's department.

Also, in a sensible country, someone would be policing the police. I don't actually think any country has properly figured that out though. In reality, it seems like an important role for the police is to enforce the status quo, and ensure that the people on top remain on top and the people on the bottom remain there. That allows police to place themselves slightly below the people on top, but importantly significantly above those on the bottom. Because of that, I don't think the rich and powerful in any country really want a fully controlled police force, otherwise they can't do the extra-judicial things that maintain the hierarchy.