SCG, with the best will in the world (and I'm trying desperately hard not to sound patronising, so apologies if I don't entirely succeed) this doesn't sound like your personal opinion, largely because you haven't been working long enough to have developed one - how can you say that working for an agency is 'best' when you've never worked any other way and only been working at all for five minutes?
It sounds far more like this is what the people you are employing have told you which is not the same thing at all (but hardly surprising), and whilst that's fine for you if you're happy it's not something we generally recommend here. Not everybody wants to work in a brothel for starters, and we would never, EVER recommend that you leave personal belongings or God forbid, evidence of your legal name/identity with some random 'landlord' - there is no reason whatsoever for an agency or their associates to know your legal name at all. Please don't forget that these people are criminals, and the industry is not exactly renowned for it's fairness and professional practices, especially when things turn sour. I can't imagine they'd be too overjoyed if you decided to go independent and took their clients with you, for starters.
As ever to the OP, please read the
main SAAFE site; there are articles on different ways of working as well as choosing an agency or parlour if this is the way you want to go. If not, working and advertising independently really isn't that hard, and at least you know everything will be done properly if you're doing it yourself.