In the first film, Agent Smith could give the sentinels orders. Is there more to this connection or not?
us Neo that the Agents are...
...Sentient programs. They can move in and out of any software still hardwired to the system. That means that anyone we haven't unplugged...is potentially an Agent. Inside the Matrix, they are everyone...and they are no one.
Based on this we can reasonably assume that they have no specific physical form outside the Matrix, simply moving from body to body within the Matrix.
Smith certainly seems to have a level of authority over the Sentinels (in the scene you've mentioned) but given that they're treated as largely disposable shock-troops, that's not saying much.