I had exactly this issue with my parents trying to get them a retirement visa. Couldn't open a bank account so they are going back to the UK to get the right visa. Bank accounts used to be easy, not anymore.
I have done it direct several times. No issues, it's quite straight forward if you have the right paperwork. I wouldn't use an agent as you have to provide them with the same details anyway. The people at VFS in Chiang Mai checked everything for us too.
The last time I got my wife a 10 year visa so we can travel as we please.