No, they're not asking ""please don't cover this story"". They are "strongly cautioning" them not to, which can reasonably be interpreted as a veiled threat.
What is that a threat to do?
How about, "Be careful."?
"Prior restraint" is a well-tested concept and it doesn't do very well in court. And all the government has to harass you are the courts.
Though I of course strongly disagree with your premise anyway, particularly when the governmental agency in question is the DHS.