WASHINGTON—The White House said on April 22 that President Donald Trump is dissatisfied with the Mexican government’s response to the deaths of two CIA agents in Mexico. The comments followed Mexican President Claudia Sheinbaum’s statement that no agents from any U.S. government institution may operate in Mexico without approval from Mexico’s federal government. “I think the president would agree that some sympathy from Claudia Sheinbaum would be well worth it for the two American lives that were lost,” White House press secretary Karoline Leavitt told Fox News. Leavitt did not deny reports that the deceased were working for the CIA and participated in an operation to dismantle drug laboratories in Mexico....