Mississippi 'deals with" Westboro Baptists.

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So the cops technically "broke the rules" by "bringing them in for questioning", ah well

I don't know. The police have an obligation to protect the demonstrators while they are demonstrating and also to maintain the peace. Before the demonstration begins I'm not so sure they have any obligation at all. It would require the WBC to prove (beyond a reasonable doubt) that the police conspired to deny their constitutional rights.
Difficult as I doubt there is much of a paper trail ( it's Mississippi, after all....they don't read/write much to begin with.)