Allen crossed for Gloucester but Lamb failed with the conversion and Agen were ahead 15-14 at the break.
Thomas Soucaze went over again for the visitors before Agen claimed their try-scoring bonus point through Conrad Stoltz.
Allen gave his side hope with his second try and Olivier Azam got Gloucester even closer - before fly-half Francois Gelez dropped the goal that seized victory for Agen.
Hooker Steve Thompson wrecked Border Reivers' hopes of pulling off a shock Heineken Cup triumph in a Franklins Gardens thriller that Northampton won 37-13.
The home side led 13-6 at the break thanks to a Mark Robinson try and the boot of Carlos Spencer, and went further ahead when Paul Tupai crossed.
Simon Danielli then raised the visitors' hopes of making a comeback before Thompson notched a brace to seal the deserved win.
Glen Jackson scored 22 points as Saracens recorded a hugely impressive bonus-point 37-20 victory over Narbonne in France.
Scrum-half Neil de Kock scored a first-half brace of tries to set Saracens on their way at Parc des Sports et de l'Amitie, although it needed a late penalty try and a Jackson interception to end Narbonne's challenge.
South African de Kock darted over from close range and then added a second try from 40 metres out as the English club showed grit to keep Narbonne out in the dying minutes.
Kiwi Jackson scored in injury time and, with a win over Glasgow under their belt last week, and a home match against Narbonne in the offing, Saracens look to have one foot in the European Challenge Cup play-offs.
Opposing front-rowers Franck Tournaire (Narbonne) and Fabien Ongara spent 10 minutes in the bin for fighting, with Saracens lock Tom Ryder also having a yellow card waved in front of him for a late tackle.
Narbonne outside-half Christopher Ruiz scored 15 points, but a penalty try in the 77th minute sealed Saracens' win, before Jackson earned a bonus point.