Normally for one-to-many relationship in EF you want to have an ID (foreign key) of the referencing table included in navigation properties, like this:
public class User : IdentityUser<int, CustomUserLogin, CustomUserRole, CustomUserClaim>
{
public int AgencyId { get; set; } //new
public virtual Agency Agency { get; set; }
public string FirstName { get; set; }
public string LastName { get; set; }
}
then use the AgencyId
during insert/user creation, as in retrieve AgencyID
from DB and assign it to User