The key to the question "Why didn't you make that deal with Grimes?" is that it came after Masters was introduced to Chance and Vukovich. While it is not impossible Grimes could have told him about that before the first meeting was set up, Grimes being the only possible source of the offer of the deal, you would have to assume if that was the case that Grimes introduced them to Masters in effect knowing Masters planned to kill them. I don't think that makes much sense. Grimes was corrupt but what was in it for him to help Masters set up killing two federal agents???
And as for Masters at that stage of the narrative, why did it make sense to try to reel in Chance and Vukovich? TO his knowledge they had nothing on him. Other than Cody, but Masters's Cody problem was not going to be solved by Masters killing CHance and Vukovich. Cody was already in prison. He would be no less an exposure for Masters if Chance and Vukovich were dead. The Cody problem would remain, and that was what he was afraid of. Nope, not near enough incentive for Masters to intentionally lure Chance and Vukovich in.
and let's not forget Grimes did not know Vukovich would not take the deal, in which case if he did Grimes would earn a cut of the money. In other words Grimes's meeting with Vukovich was not a set up that was a prelude to Masters reeling them in.
More likely, I would say MUCH more likely, is that Grimes did not tell Masters about it at first, but told him later in a CYA move. I will return to that.
Problematic as well is what Bateman in effect confirmed, that Masters knew the agents could not get as much as $30k to do the buy, which is why he asked for that much up front. This is the in effect double meaning of Masters saying "if you can't come up with the front money, then you are not for real." For real meaning not only a real buyer but one who is "real" meaning not a cop.
As for the "Like your work" comment, remember Masters knew that the person they in effect robbed from was an FBI agent. He did not know they did not actually kill Thomas Ling since 1. Masters and Vukovich never let on who they got the money from and hence didn't even come close to saying what really happened, and 2. The FBI info sent out on Ling's killing did not mention he was killed accidentally, by another FBI agent (part of the counterfeiting theme here, btw - the FBI was not being up front, either).
So why would Masters think Vukovich and Chance were Treasury agents who were willing to kill and FBI agent in order to get the front money? Answer is he would have NO reason to think that. Unless they were dirty cops. see below.
In other words here I think Masters was being genuine. He had questions about who Chance and Vukovich really were, meaning not two guys from Palm Springs and all that. But that they were cops willing to kill an FBI agent? Nope, at least not that they would have planned to kill an FBI agent in order to take Masters to court. So he was saying liked your work that you killed an FBI agent to get my front money. (At this point Masters may have considered they were in fact dirty cops, but I think that came later. See below.)
That still leaves the question how did Masters end up knowing about the Grimes offer to Vukovich, and when. And that is a bit difficult. Before proceeding I think despite the theme of counterfeiting part of the beauty of this film is that not everything is fake. Counterfeiting is a more complex metaphor than that. Chance misuses his position as a federal agent, for sure, but his desire to take Masters down is genuine and, in his mind, the right thing to do.
I previously explained the difficulty with the view that Grimes was in on trapping Chance and Vukovich. What then might have been his real motivation, other than the possibility Vukovich would take the deal and pay Grimes.
Grimes himself said his motivation was that Masters was becoming too difficult a client. The film is careful enough not to make it obvious that this was true, but also left enough there to lead us to understand it might have been true. Masters was annoyed that it would be so difficult to get Cody out of prison. Grimes had other clients. He didn't need Masters. And then there's the arguments above for why both the meeting with CHance and Vukovich took place and that Masters did not know they were agents at that point.
The likely explanation is that Grimes told Masters later about Vukovich to cover his ass. He could have said Vukovich disclosed this AFTER he set up the meeting with Masters. At that point he might have gotten concerned that CHance and Vukovich would blow it in attempting to arrest Masters, and even if arrested he might have become suspicious of Grimes, who he would remember had set up the deal. Even in prison Masters might have arranged to get Grimes killed if he thought Grimes had set him up. Given these considerations it would in fact make perfect sense for Grimes to consider those things and only then tell Masters about Vukovich.
But... that still leaves open exactly when it was that Grimes told Masters.
It is possible after leaving the buy scene where Chance lay dead that Masters called Grimes. But Grimes would not be covering his ass in response by telling Masters "Oh yea, I meant to tell you Vukovich is a federal agent." Nor does it make sense that Grimes would call Masters in the middle of the night to tell him that.
No, the only scenario that makes sense is that Grimes told Masters about Vukovich before the buy. But after their initial meetings.
Why then did Masters go ahead with the buy?
Frankly, this is for me the thinnest part of the plot. I would not go so far as to call this a plot hole, but the developments risk crossing the line to the implausible.
WHat keeps it barely plausible is the following: Masters took risks to be sure, like visiting Jeff when he was outnumbered. But what was worth taking the chance with Chance and Vukovich? I think it was a combination of things. One was that he still thought Chance and Vukovich had killed the FBI agent. so they might be cops based on what Grimes told him, but they also looked like dirty cops. Remember also that Grimes's very information about Vukovich was that in effect Vukovich was already outside the law, and at risk of going to jail. I hate to put it this way, but in real life such a deal would not have been the first time a cop had done a deal with a criminal.
And second Masters had Jack there with the shotgun hidden in the locker, so he thought he could survive a fight (as he did) in the encounter if it came to that.
ANd finally there is the thread through the whole film that Masters had a side of self hatred and loathing for what he was doing. His behavior at times suggest a weariness with his life.
Add it all up, and the answer is Grimes did not tell him about it at first, but told Masters about Vukovich after the meetings setting up the buy, but before the buy. Masters in turn took the risk that Chance and Vukovich were dirty cops, or that he could survive the encounter.