By default, when you have an agent running, the agent connection will be forwarded to the server side. This is for convenience, so that a system admin (or a power user) can easily hop from machine to machine.
If the server's administrator is malicious, he can use your agent to sign requests. This will not allow access to the private key, but will cause a security risk, because the malicious admin can then connect with your credentials anywhere where they are accepted.
So, if you do not trust the server, disable agent forwarding in your ssh2_config file:
ForwardAgent no
On the command line, the -a option has the same effect:
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ISACA Practitioner Guide for SSH
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