Gelatine melts at a lower temperature and has a much better mouthfeel for most of these traditional recipes. It is creamy and adds body to a stock or sauce. Agar is brittle and requires a higher temperature to set. Agar would be a good choice for something where you want it to stay in a particular shape, but it is much more of a one-trick pony when it comes to cooking. Each can act as a poor man's version of the other, but neither really hits the same features as the other.
Agar is great for a gel, especially one you want to stand up to a bit of heat and remain stable at room temp, and I would always reach for it instead of gelatine when doing most desserts or pastry work. OTOH I would only use it in a sauce if I needed to accommodate a vegan guest.