What happens if the agency / broker goes bankrupt before the car is delivered?
The contract you have entered into will be with the dealership and not the agency. Provided you have a receipt of deposit payment, at the very worst you will be left with the hassle of completing the import tasks on your own. Alternatively, you could contact another agency to check on your purchase and complete the formalities for you. The risk is probably no different to that involved with any other supplier.