Because if Five didn't interfere, everything would progress correctly and the Apocalypse would occur. Protecting Vanya does not necessarily ensure the Apocalypse. Five could have found another way to change the timeline. So their initial order was to stop Five. Once it was clear they needed to change strategies, and they had a better idea what Five was up to, it was then feasible to simply protect Vanya.
Remember, The Commission likes to operate as subtly as possible to minimize the butterfly effect.
The Handler: Now tell me, why unfortunate Karl?
Five: Karl Weber is the butcher at the shop where Captain Ernst A. Lehmann acquires his weekly roast. So, if Karl dies, his butcher shop is passed on to his son Otto, who never washes his hands, which is disgusting. So he's the one who gives the captain his roast. And that gives him food poisoning. Which makes him late for work. Which delays the takeoff. And to make up for lost time, the Hindenburg flies through a weather front of high electrical charge and humidity. And the static electricity inside the aircraft makes it a virtual tinderbox. Tiny engine sparks And just like that, we have...
The Umbrella Academy - S01E06: The Day That Wasn't
So naturally, their first plan was to remove the intruding element, before resorting to interfering in the timeline directly.