I have to imagine that just starting an agency would have to be a fairly monumental task. The only practical reason would be if your agency would be taught at other shops, etc. That being said, programs would have to be developed, from beginner to trainer, etc. It would be a huge task, and investment. Once you get that worked out, now you would need to market it.
Assuming you made it over those hurdles, now you need to integrate it into your other sports. I think if integration is your goal, I would use an existing agency. The other consideration is if you just plan to do it at your own place, or if you want to develop programs other businesses might adopt. While it might be a great idea, how many dive shops have you been in, that have the space for Kung Fu or kayaking? Likewise how many Kung Fu places have room for Scuba... Who will be your target audience, what ages, etc. The youngest for scuba is presently 10, except for the non-diving aspects (PADI bubble blowers for example).
It sounds like you are just doing this for your own business, 1 location etc. That being said, it's a great idea to try you never know. Anyway sounds like it could be some fun for somebody.