The answer to your question is: the agent in question doesn’t prefer stories that begin with dialogue. As others have mentioned, there is no rule. I say if the dialogue grabs the readers attention immediately, use it. If it doesn’t, consider scrapping it altogether or fitting it in later. If you really fall in love with starting with a line of dialogue, consider starting a later scene or chapter with it, after readers are grounded in the world and people of your story. Hope this helps!