I can't say for certain, but it is reasonable to ask the question. If the agent is a Broker, with a trust account it may make sense. If they are not, the funds should be made out to either the owner or licensed property manager.
If you have doubts, check to ensure the person you are working with is a licensed agent. If they are, ask for an explanation. If that sounds fishy look up the responsible broker for the office the agent is working out of and clear this with them.
I can imagine scenarios where it may be okay, but I can also imagine more where it's not.