the first time an agent goes out, it has to connect to ePO server and download the new sitelist.xml and several other files. It will then start connecting to the right Agent Handler. Did that work?
What agent version are you using? Only MA 4.5 will attempt to use multiple agent handlers. MA 4.0 does not know to check for a different agent handler if it fails to connect successfully the first time. MA 4.5 will attempt all of the agent handlers in its sitelist until it gets a successful connection. I'd suggest trying again using MA 4.5 if you have not already done so.
I hope that helps!