If you have an honest Real Estate agent, his or her request for you to use an in-house lender is the fact that they believe he or she will do the best job. You'll find that when buying a home, your Real Estate agent may be especially skeptical of Mortgage Professionals, in general. This is probably the result of an instance where everything was ready to go, but the lender was late in handling the financing. Hell hath no fury like a Real Estate agent that had his or her commission messed with. If the Real Estate agent finds a trustworthy lender, then that's who they are going to want you to use. 

That being said, often times lenders and Real Estate agents will exchange money under the table for referring each others' clients. This is a RESPA (Real Estate Settlement Procedures Act) violation, but something that is very difficult to police and those in violation are rarely caught. You should in no way feel obligated to use a Real Estate agent's in-house lender, or a Builder's in-house lender. If you have a Mortgage Professional you know to be trustworthy then that's who you should use. Do not allow yourself to be bullied. It's important to establish with both parties, finance and real estate, that you cannot be pushed around.