They have the jurisdiction to do so?

They had jurisdiction over BitMEX.

Considering that they do for a moment, there hasn't been much evidence that tether isn't fully backed, in fact they have provided audited evidence that it is, at least at the time of the audit.

Tether Limited has never been able to conclusively prove that they're fully backed.

Why would it be shut down exactly?

For lying to investors a.k.a. securities fraud, of course.