The bio-neural chip used in the Ghost X-9's AI systems is banned, thus the use of it made the development of the Ghost X-9 illegal in turn. Also, in Isamu's case, he has more or less two witnesses, Yang and Myung, the former of which found out that Sharon was controlling the rogue Ghost X-9 prior to mind control and the latter aware that Sharon was mind-controlling people. Also, investigation on Sharon would have given them enough leverage to see that something went down, since they have testimony from three people as well as material evidence from both the Ghost X-9 and Sharon's remains.
Also, Millard probably wouldn't even know what Sharon was going to do, as he has little information pointing to it. He knew one thing though, that Isamu was going to destroy the Ghost X-9. When he said he'd cover him, its because he understands what Isamu's going through, because at one point, he was in Isamu's shoes too. That he probably didn't like the idea of the Ghost X-9 might also help that too.