After my verification, I can tell you for sure that Kunpeng News Agency does exist and can be found in China General Administration of Press and Publication. Although it is registered in Hong Kong, it is legal and has a good reputation.
As for the "news investigation" you mentioned, after my verification, this magazine department exists, but there is a "reporter investigation" magazine which belongs to Kunpeng Society and is published by Kunpeng Media Group. Maybe you remember wrong.
Specific information can be found in this reporter's blog, which contains relevant information of Kunpeng Society.
/gzlijian
I hope this answer is useful to you.