Actually it does. McVeigh was successful beyond his wildest expectations in accomplishing his primary mission. There is no reason why he would want to share credit with his backers. He probably thought he was using them for his own purpose.
A zealot can rationalize logistic support and training from any number of unsavory sources in order to accomplish their goal. McVeigh was clearly motivated by hatred for the US police forces, specifically the ATF and likely believed that he was striking a blow against a deserving organization.
It is said that "the enemy of my enemy is my friend". This is usually a fatal mistake. But it is a straightforward alliance of Muslim terrorists with any sort of anti-government group or criminal organization within the US. They have money, training areas, safe houses, and may be willing to seed non-Muslim terrorist groups with good prospects for terror activities.
It is an effective strategy that worked for the Soviet Union for decades, and still works today for Russia.
The FBI is very good at low-level infiltration of anti-government groups and makes a regular practice of agent provocateur. Usually they manage a terrorist operation until just before fulfillment, then bust in and take down the participants. Often one of the principle cell leaders is the FBI agent or informant.
Cross these two streams and you have an operation that can really blow up in your face. Perhaps that is what happened here.
Second, threaten BOTH families? I think not.
Third, McVeigh "shared credit" with Nichols.
Fourth, as I said, Lance has made a detailed review of Davis---and is sympathetic---but finds the evidence severely lacking.