The construction doesn't need the indefinite article; if anything it would be the definite article. However, the preposition as in this construction means "in their capacity of" and doesn't need any article at all. One can say
I'm doing this as chairman of the club
meaning that you are metaphorically donning your "Chairman" badge and acting in that [official] capacity, rather than just as a bod who thinks the deed should be done.
This is just the way this particular construction works.
Although they're not needed at all, there may be occasions when articles might be used. In my example, "as the chairman" is fine because there will only be one. Perhaps there are several vice-principals in a school, any of whom could act: "I'm doing this as a vice-principal" would be fine.
The problem with an agent in your example is that while the vendor might have more than one agent working for them, each doing their own task, for the purpose of receiving a deposit there really should be only one. So the agent means "the agent tasked with that job". However, not using an article at all avoids the difficulty in all cases where as means "in their capacity of".