Well, Trump does not like it when someone tells him that he can't do something.  So he's creating a fuss.  He wants things his way, on his timeline.  
But to your real question:  once an appeal is brought to an appellate court and the court has jurisdiction, that court must respond.  
To me, this is all like a giant temper tantrum.  Unfortunately, the one having the tantrum is no a 3-yr-old, playing with toys and flailing his arms at his parents who have refused him something, but the President of the US, who is wasting precious taxpayer money on nonsense, and not letting DOJ lawyers work on something productive.