How about when they submit a budget, rather than as a focused witch hunt?

Of course, its not like this political atmosphere would listen to any budget justifications. It's all theater now, it doesn't matter what actual justifications there are, what actual facts there are, or what things actually look like when you spend the time to dive into them. What matters these days is a small number of opinion-makers feel in their hearts, and what they tell their followers to feel with quick one-sentence justifications.

They should, so why not send out a blanket order for all agencies to do this? Why target only a few specific departments for justification and gag orders?

It's called a budget review. It's Congress's job to do this, not the Administration. And it seems like a total waste of time compared to all of the other more important issues the Administration should be covering, IMO.