In the US, the answer depends on whether the candidate is for a contract/hourly paid position or for a full time position.
1) If this is for a full time position:
The candidate doesn't stand to gain anything from bypassing the agency and this is probably a misunderstanding. All you have to do is clarify this and then proceed through the agency. You will have to pay the fee if you hire the candidate, but the goodwill and trust gained is better for all in the long run.
2) If this is for a contract/paid by the hour role:
In this situation the candidate might be trying to bypass the agency. If the candidate hasn't signed a "right to represent" agreement with them, then they are out of luck, there is nothing they can do to stop you from dealing with the candidate directly.
The questions then become: How much do you really care about this agency and is this candidate really worth breaking your relationship with them?
You might start questioning the candidates ethics, but first ask yourself why is the candidate trying to bypass the agency? If this position is a 60$/h position and the agency is offering the candidate 40$/h and keeping 20$/h for them then even the most moral person in the universe is still going to try to get out of that arrangement.
But money is not the only issue.
I have been through this situation myself as a contractor: I got an offer to work for a very prestigious client through a staffing agency. Having that client on my resume would be a major step up in my career, and I really wanted the role. After the first few calls, the agency I was dealing turned out to be VERY unprofessional. They kept making unreasonable demands, like requiring me to quit my current job and remain on standby even though the client hadn't approved my application yet. They also asked me to commit to not searching for any other positions at all while working for them. They kept insisting that they couldn't complete the process unless I provided them with a definitive end date to my current role.
At the end I got so tired of their lack of professionalism, and the inconsistency of the information they were providing me with, that even though I had signed an exclusive "right to represent" agreement with them, I contacted the client directly.
I ended up going with another more reputable staffing agency, the contract was lucrative enough and the client prestigious enough that they were willing to handle the legal consequences of my breaking the "right to represent" agreement and I did get the job.