'Why have they gone with the killing of the government employees, rather than all of those killed?'
Because those employees were federal employees and he is being tried in a federal court.
The other victims are a matter for the state court to bring charges and/or try him.
The federal system, however, ranks first before a state, in a rather crude way of explanation, so they will try him first.
It doesn't mean they have more weight, indeed it's possible AZ has classed murder of a child under 10 as a capital crime (some states do), it's that the two are separate systems of criminal justice and he is facing the federal charges first and will be tried on those first.
He will likely be found guilty (he may also plead guilty) and be sentenced to either life imprisonment in a federal prison or death, in which case he'll be detained in federal prisons until the time of his execution.
After the federal trial(s), the state of Arizona may also try and convict him, but this can also be seen as a waste of state taxpayer monies if he's sentenced to be executed by the federal government, so it's up to them if they chose to do it or not.