I spent my early hobbying career doing only agencies and then "graduated" to independents and now I only see independents.  

 
Pros:
- typically rates are cheaper so you can go more often
- responses to requests for appointments are usually quicker
- surprise girl sessions can be a blast as they're cheaper and you may end up with a gem that you never would've picked (that happened to me)
- selection varies and there's always a hottie or two in their selection in any given month that intrigue
- screening is easier since once you screen with that agency you can see any of the girls they have at the time
- even if your favorite isn't available they can almost always accommodate the date and time you want

 
Cons:
- ladies come and go fast so it's hard to build "regular" status or find an ATF that you can see for years
- Once your favorite is gone, she's gone (unless she comes back to the agency).... unless you can find her again as an independent
- the ladies tend to be more "average" rather than stellar, more likely to get a robotic session
- they do tend to be bigger LE targets

 
To answer your specific concern about getting busted, I think your information is in the same amount of jeopardy whether an agency or an independent gets busted.

but how do I identify which are good quality agencies in my area?  Would it make any difference to an agency that I have been P411 verified?  I doubt I'm up to giving any agency my personal information.

A lot of agency ladies go independent once they figure things out and then jack up their rates.  Similar to what is noted above I started off using agencies which I suspect that most mongers do then started seeing independents.  But now I find myself going back to agencies again.  Most agencies are in the 3-400 range whereas comparable independents seem to be in the 4-700 range.  By comparable I mean 8.5 to 9.2 ish rated ladies.  The major downside to agencies is that it is in the agencies best interest to keep the lady super busy.