Agents include Diplomats, Merchants, Spies, Colonists, Missionaries and Magistrates. Magistrates were added in Heir to the Throne. Each nation can have a maximum of 5 of each kind of agent at any one time. When you are at this limit, any further monthly increase will go to waste.
During development of the Divine Wind expansion, it was considered to raise the number of agents one can keep in store to 9, but this idea was eventually scrapped as it was found to unbalance the game.