Question: Why would Matilda interfere with the FBI investigation? Wouldn't she want her father to go to jail?
Answer: No. She didn't get along with her family, but she was a basically kind girl who still looked out for her father.
Answer: Kids generally like to see the best in the people closest to them, and while Harry and Zinnia were mean and neglectful, Matilda still had a little bit of love for them (and/or sympathy for how stupid they actually were) and didn't want to see them go to jail. Part of it might have also been because she knew they wouldn't survive very long in prison. And besides, she got what she wanted. To be with Miss Honey.
And besides, she already got what she wanted. A life with Miss Honey. An actual loving family/relationship.
Answer: At the end of the day, he's still her father, and she's a young child. It would be difficult for her to give the FBI the smoking gun.