When a provider with an agency gives you there personal cell phone and asks you to call them? Is the agency going to get angry? Am I setting myself up for something? Should I actually call them? Totally confused...

Whether you should contact her independently is up to you.

It's purely a money thing, and basically the provider is saying that if you call her directly, you can get a lower rate than you pay now.  Or more time or a more comprehensive session for the same rate you are paying now.

Not smart to bite the hand that feeds you