Agents and Agent Groups can be configured in different ways for different kinds of needs.
Multiple Agents in an Agent Group with a shared SQL database
If the Agent Group has a connection string set the Agents will use the shared SQL database and all Triggers are available in High Availability mode.
This is the most common mode of installing multiple Agents in one Agent Group and should be used in most cases.
Multiple Agents without a shared SQL
If no connection string is set all the Agents will use a local database for storing configuration information. The first Agents will be "Primary Agents", this Agent will be able to execute all Triggers. The other Agents will be able to run HTTP, API and Service Bus Triggers. If this mode is selected Schedule and File Triggers will not be run in High Availability mode.
This mode of installation is useful if you do not have a SQL server but still want to have redundancy and load balancing for HTTP Processes.
Agent without bundled localdb.
If you already have an SQL server installed, you do not need to download the bundled version of the Agent that includes localdb. When downloading this lighter version, you may install multiple Agents on the same machine. This can be useful when you for example want to run test and development Agents on the same machine.