Isn't having elected representatives control government agencies more democratic?

There are a lot of different ways to measure democracy but most of the established ones (my own selection based on a quick glance at the “Democracy Ranking” Wikipedia page) ranks Sweden as more democratic than the U.S. so I guess more direct government control and more directly elected officials doesn’t necessarily translate to more democratic system of government.

No, the same way it isn't more democratic if all branches of government all tie the same party line.

Modern democracy is based on the separation of powers and, in the vast majority of countries, a constitution or charter(s) that can't be overturned by a simple majority vote. For example, a party can't suspend Habeas Corpus on a whim, even if said party won the presidency, the Congress and the Senate.

But just ask the Supreme Court who carved an exception for the FED and not other government agencies...

Yes, it is. This is for the same reason that deciding all things by plebiscite is a full or direct democracy, yet also a stupid thing. Your error comes from doing what many people now do, which is treating democracy as "good things", and more democracy is when we have more good things, and it as an inherent good. It's not.