I rescued the agent in stage 5 but nothing special seems to have happened...
The special people are called VIP. Saving them and finishing the stage nets you some extra stars. I don't remember the amount for certain but I believe it was 2k.
I think that you mean "people" by "agent". Nothing special happens for rescuing people in stage 5.
I've never seen such a message ("agent is missing") in Skyforce. Are you sure that you're getting it from Skyforce and not from your mobile OS (or emulator).
I got this too, for a different level - level 2 IIRC. I think there was also an indicator for the level in question on the level overview screen. I played through the level and at one point there was AFAICT an extra human to rescue, with different artwork from the normal ones (I seem to recall it as more brown than red). I could see how you could easily miss it. Since it was an early level, I could do all the medals in a single run (i.e. both destroy all enemies, rescue all humans, take no damage and get all stars), and the extra points allowed me to beat my friends' highscore on the level :)
If you rescue that guy and finish the stage you get some extra points. It's just like when you get a message to get the green little box....(I forget the message) A white box icon replaces the level number. If you "rescue" the box in it's spot at the end of level, you get a card at the end. But the guy you have to save is different. I think the message says you have to rescue.... IDK.. somebody. Then like I said.... if you save him and complete the stage.... it gives you some extra points... I don't know how many.