Firstly, it was a missing person from the witness protection program not an FBI agent. And then it wasn’t that SWORD had their interest sparked, it’s that the FBI asked for their involvement so they could make use of their tech.
Hayward: The FBI is in a tizzy over a missing persons case up in Jersey...
Monica: "Missing persons"?
Hayward: I know. But they have requested use of one of our imaging drones, and I need a chaperone.
WandaVision, Season 1 Episode 4, "We Interrupt This Program"
Woo: I've got a witness set up down the road in Westview, and this morning, it looked like he flew the coop.
Monica: Your missing person is in the Witness Protection Program?
WandaVision, Season 1 Episode 4, "We Interrupt This Program"
We never found out who that person is in the series and as far as I know we still don’t know. In fact director Matt Shakman has said in an interview with ComicBook.com that the person is potentially going to be revealed in a future project.
"In terms of nobody knowing that Westview exists, Westview does exist and that's why Jimmy’s there. But the people in the environment have forgotten it because Wanda has made it so," Shakman told ComicBook.com's Phase Zero podcast about the "Hex" spell cast by Wanda Maximoff (Elizabeth Olsen). "She's created a kind of black hole there so she can be uninterrupted and people won’t find their way in too much. In terms of the missing person, there's an answer for that and, you know, hang in there."
When ComicBook.com asked Park if the identity of Woo's missing person would be revealed at a later date, he answered: "That's a good question. That's a good question that I will just leave a question."
ComicBook.com, WandaVision Director Matt Shakman Confirms Jimmy Woo's Missing Person Will Be Revealed