No conflict of interest from the facts you've presented. It's OK for an agent to represent two different potential buyers. However, ethically the agent cannot share the details of one offer to the other buyer. In your case, if--let's say--the house was priced at $100,000 and you offered $101,000 and the other buyer--independently--offered $102,000, then there's no conflict.
If, however, the agent had told the second buyer, "I've already got an offer for $101,000. If you want the property, submit a higher offer," that would be an ethics violation.
If the seller permits it, though, a listing agent can reveal to a buyer that another offer, or offers, have been submitted. So, in your case, if HUD permitted it, the listing agent could have said to the other potential buyer: "Yes, an offer has been submitted on the property."
Does your agent have a duty to disclose to you that he/she is representing a competing buyer? Not that I'm aware of. You certainly can ask.
Isaac points another thing to consider: Dual Agency. That complicates matters even more. It doesn't mean that anything unethical will occur, but it does mean that you may not receive the same level of service that you would if dual agency didn't exist.
In the future, make sure you have your own agent, just representing you.
Here's a link to the Code of Ethics of the National Association of Realtors: http://www.realtor.org/mempolweb.nsf/pages/code
Hope that helps.