Forwarding the ssh agent (-A) is considered insecure. Instead man ssh recommends using a jump host (-J)
To your point, I wonder whether that consideration holds when the private key is held on an external device, like is the case with a YubiKey. I use that setup, and I can't add the key to the ssh agent.
$ ssh-add .ssh/id_yubikey_gpg.pub
Error loading key ".ssh/id_yubikey_gpg.pub": error in libcrypto
SSH connections work fine with that key.