A few reasons spring to mind:
1) if he's given them that, what else is he willing to give them? The tax bill was shoddily bad, not just from an economic POV but a political one too. Handwriten notes in the margins, specific exemptions to bribe senators into voting for it, no costing, no checking, no real debate...this signals to the Republican congress that they could take a shit on a piece of paper and it would probably get passed if there was enough graft to bring the votes in.
2) They own him. If it turns out he did collude with Russia, which the evidence increasingly points to, it will destroy the (already waning) centre-right support for the Republicans for a generation. They nominated and worked with a man who worked with Russia to win the election? Anyone with a functioning brain will call them enablers of treason and spit on them as they pass in the streets. They'll be a rump party appealing to hypocritical evangelicals, white nationalists and ancaps waving Kekistan flags while making jokes about helicoptor rides. Unless they can muddy the waters and portray this as a witch hunt...
3) Going after the FBI and DoJ enables a significant amount of political lawlessness. If the FBI is is bought to heel, someone reliable will be brought in to restructure the agency and likely have the final say over the top positions in other departments. Someone like, say, Rudy Giuliani? And then you can really steal. Properly legitimised corruption without the possibility of law enforcement investigation, and perhaps even opening the door to using those tools of state to win elections and intimidate political rivals.
4) They actually agree with Trump. Politically, I mean. There's always been a seedy element of existential warfare and European far-right thought among certain elements of the GOP, and those elements are now firmly in control. They view politics as warfare for survival, and in Trump they see someone who is willing to go to the lengths they deem necessary to "win". One Congressman, a supporter of Bannon, once told a Congressional staffer years ago that he'd be happy living under a system like Franco's in Spain. I suspect many more agree with him but just didn't say it out loud. Or they agree with Putin's way of going about things, which to be honest isn't that much different. They consider Russia an ally against decadent western cosmopolitan liberalism, and so any collusion is de facto justified because Hillary and Obama are worse.