UML is an object modelling tool to better express different aspects of your product/project to stakeholders like developers , designers, clients etc. It is not much to do with the project management approach. You can follow Agile or normal waterfall model and still use UML.
But as Agile is iterative approach which keep on evolving so it makes sense to keep your UML docs updated to better take care of changes. So your UML diagrams will be created for each iteration. And as project evolves so are your UML diagrams.
Typically UML diagrams which are useful are : Usecase diagram, Class diagram, sequence diagram, activity diagram.