If the agency does not deduct tax from you then it means that the agency is treating you as a self employed person.
This could have implications on your ILR if your skilled Visa does not allow you to be self employed.
However as far as reporting is concerned, you will need to register for self assessment to obtain a Unique tax reference number (UTR) and then report all your earnings in a tax year 06 Apr 2021 - 05 Apr 2022 via a self assessment tax return.