Design school is somewhat like an agency itself, where you are assigned projects that you must complete for your client (professor). And in the same way you emerge from your education with a portfolio of [hopefully] disparate pieces of work that showcase your range, working at an agency is great to boost the breadth of your portfolio and expose you to problems that you might not be exposed to if you have only siloed yourself only working on a single product or related products for a long stretch of time.
IMO it is best to get exposed to as many kinds of work and roles as early on as possible so that you learn more about yourself and the way you work best. Then when you have some experiences under your belt to draw from, it will better inform your decisions on what to specialize in and what kind of roles you prefer.
If after you have done so you find that you enjoy being on a small team and being a little more familiar with the business side of things, then you will be better suited to be an entrepreneur. Of course, you can just jump in and hope for the best. Sometimes it works out, sometimes it doesn't. But the more experience you have the better equipped you will be to succeed.