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Your broker will pretty much say anything to help you get the offer accepted, so the agent/their broker has a fair reason to chat to you directly.
It used to be more forceful, ‘you must speak/use our broker’, especially with the corporate chain agents, a bit less of that going on these days.
Of course their best case scenario is that you get on with their broker more, and you change, and their broker and the agent gets the mortgage and insurance commission that your current broker would otherwise get.
Also, if you are a real dick about their requests, it would suggest that you’re going to be a dick about other things in the purchase.
When we were buying our place the vendors agents had us talk to one of their mortgage people - we got on the phone, told them we had our own broker and they basically explained it was a box ticking exercise from their pov and we carried on using our own broker. Bit weird but didn’t have any consequences.