Perhaps they only asked if you had an agent so they didn't have to hunt around for one.
It is definitely possible to get a 457 visa without an agent but when one is used, the employer must pay all of the costs for at least their side of the process i.e. the sponsorship application and having the nomination approved. The employer side of things is by far the most complex but their sponsorship approval covers all sponsorships for a 3 year period so it's a one off expense and effort and while a nomination must be done for each employee, they're not very complex. Most also pay for the employee's agent costs as well and usually (though not always), the same agent is used.
The sponsorship obligations under the regulations state:
The standard business sponsor must not recover, or seek to recover, from the primary or secondary sponsored person, all or part of the costs (including migration agent costs):
• that relate specifically to the recruitment of the primary sponsored person
• associated with becoming or being a sponsor or former approved sponsor.
The whole process is clearly explained in the 457 booklet and on the DIAC website. Have a thorough read of those and see if you feel you can handle your side of things yourselves - you should be able to without too much trouble.
http://www.immi.gov.au/allforms/booklets/books9.pdf 457 booklet
http://www.immi.gov.au/skilled/skilled-workers/sbs/ 457 visa from the DIAC website
If you decide to handle your application without an agent (or even if you use an agent so you know what questions to ask), join the Pomsinoz forum where you'll find hundreds of other members who have first hand experience with the 457 process.
http://www.pomsinoz.com/forum/migration-issues/ PIO Migration Issues forum