This post seems to have been missed.
The choice is really up to you. There isn't anything to hack on the agents but as usual, when you put something directly on the Internet, it becomes a target for hackers.
Yes, absolutely, you could install another little router outside the MSP's device then connect your agent to that so long as the upstream is providing DHCP.
Let me know if you have any more questions, I'm sorry this was missed and happy to help in any way we can.