I guess you missed the part where it says "Congress shall have power...", not a federal agency that is not authorized and circumvents the Enclave Clause
So Congress doesn't have the power to make federal agencies?
Also, the Enclave Clause is relevant to properties purchased by the Federal Government from states for the purpose of building Federal Government offices (such as Washington DC). Since BLM lands were never state lands to begin with, the Enclave Clause does not apply.
Example: the Territory of Nevada was an unincorporated part of the United States after it's division from the Utah Territory in 1861 (IOW it was Federal lands BEFORE it was ever a state, meaning those lands were never state lands to begin with since the state didn't exist). It was granted statehood in 1864, but with the acknowledgment that US Federal Lands would remain under US Federal jurisdiction. It says so right in the Constitution of the State of Nevada:
THE CONSTITUTION OF THE STATE OF NEVADA
ORDINANCE Disclaimer of Public Lands; Third. That the people inhabiting said territory do agree and declare, that they forever disclaim all right and title to the unappropriated public lands lying within said territory, and that the same shall be and remain at the sole and entire disposition of the United States;
If you look at the Constitutions of the (western) states with lots of BLM lands, you will find similar, if not the exact same, Disclaimer of Public Lands.