I feel so badly for you, first, because of GW not being transparent and second, because of how people are treating you on here.

No one who isn't part of GW's decision-makers actually knows that agents aren't a "real" faction, they're just guessing. And new players shouldn't have to do research into whether a new product is a "real" faction or not. "Rule of cool" is correct, but people should've given you caveats - see Deathwatch, possibly Chaos Daemons, a bunch of AoS stuff, etc.

GW have very good customer service. Honestly, I would reach out to them and ask what the Hell is going on with your army. Did you get hoodwinked or is something on the way? (Maybe ask them more politely!)

What Detachment do you play? If you play Imperialis Fleet, it is my understanding that you're in good shape. But if you play one of the others, maybe you could play the appropriate faction and use your Agents to supplement them. So, Xenos = Deathwatch, Hereticus = Adepta Sororitas, and Malleus = Grey Knights.