Tickets were booked through an agent for a performance has been cancelled. Is the agent liable for refunding the cost of my tickets even though he does not now hold any of the funds he has received
I assume you paid a booking fee (even though you may not have realised it). Therefore there's probably a contract, so read the print of their T&Cs.
I can say that if a concert is cancelled and Ticketmaster are the agents that they refund, and refer you to the point of sale to collect. Therefore I'd expect that yes, the agent needs to refund, but it may take a little while (but shouldn't)