So I would love to see te Feds take that statement as evidence to go get warrants to sieze the membership list to investigate crimes any military members may have committed by joining.

It wouldn't be a seizure based on attacks on the KKK as an organization, but rather based in the fact that they now admitted that he have allowed and helped servicemembers commit a violation of Article 92 of the UCMJ by violating orders and regulations regarding hate group membership. As such a siezure of membership roles as part of that investigation might pass A Constitutional challenge, especially given their open admission the crime is taking place.