Is it better to use an agent for exiting Thailand to Myanmar or to go solo?

I don't get it, why did you tell them about getting denied a DTV visa and something about an agent? Did you just tell them spontaneously or did they ask you about it first? If you offer the information what purpose was there for doing that? It has nothing to do with your entry, or what was it that doesn't work with the ED visa that you are trying to explain? You were surprised by who's concern? The concern of the immigration officer? Of course they would be concerned if you start talking about wanting to change your visa when all they want to do is confirm which visa your entering on right now.