@Alfred ****
it's certainly a risk. But what is the agency's solution? Do they want you to pay them more money to help you get into Thailand? If that's the case it should tell you all you need to know.
Why don't you just apply for the non-O visa from a Thai embassy and then you'll definitely have no problem entering Thailand. And then using an agent for the extension should be significantly cheaper as well. Did they mention that option, or they want to maximize how much you're paying them?