Yeah, he spent a few years being extremely cagey about what kind of “federal agent” he was, dropping hints about his “badge” without being specific, trusting us to read between the lines and infer more than he was actually saying (examples here and here). He was then repeatedly confronted on what exactly he was implying, and he backed off the cagey hints and clarified somewhat.
In fairness to him, this was all twenty years ago, and he has been somewhat more disciplined in the years since. It was definitely something he used to do, but it’s probably inappropriate to keep beating him with that specific club, absent any appropriate context.