He may be the President, but that makes him neither king nor God (no matter what some might think), and not above the law.
Or does it?
He's the top cop. The commander in chief. It is from the authority of his branch of government, the executive branch, through the constitution, that police officers and federal agents get their powers of law enforcement and arrest. He has the authority to be armed, in my opinion. Exemptions for LE would apply to the president, as he is the head of federal LE.