They're "investigating", presumably with data gleaned from arrests and CIs; you have a right to speech, and a right not to be prosecuted for speech, but a much, much narrower right not to be "investigated", collapsing to ~epsilon when the investigation involves data the FBI already has.
No. According to the latest reports, while searching for ICE vehicles, the protesters are unlawfully scanning license plates, which strongly suggests they are receiving insider help.
Yeah whenever people say “the first amendment is not a freedom from consequences” it is only a freedom from certain consequences (and that freedom only goes as far as the government is willing to protect it). It is a freedom from being convicted. They can still arrest you, you can still spend time in jail, prosecutors can even file charges. A court is supposed to throw those charges out. And in extreme cases you can be convicted and sent to prison for years before SCOTUS rules.