By default, when you have an agent running, the agent connection will be forwarded to the server side. This is for convenience, so that a system admin (or a power user) can easily connect from machine to machine.

If the server's administrator is malicious, he can use your agent to sign requests. This will not allow access to the private key, but will cause a security risk, because the malicious admin can then connect with your credentials anywhere where they are accepted.

If you do not trust the server, disable agent forwarding in the ssh-broker-config.xml file (either under default-settings or per each connection profile):

<forwards>
  <forward type="agent" state="off" />
  ...
</forwards>

On the command line, the -a option has the same effect:

$ sshg3 -a host3.example.com

See forwards for more information.