I don't know about the agency, but maybe someone else in NY does and can tell you what they know.
As long as they did not tell you that they do the shoot and that you will pay them, they are probably legit. It's a huge red flag that they are not a legit agency ... if they make money off by selling photoshoots, portfolios and the like. Never pay an agency directly for a test shoot. You should pay the photograher.
If they are legit, I would say that "figure out something else" probably means that they are calling a few of the photogs that have contacted them looking to borrow models for their own portfolio work and see if they are interested in you enough to do a free test shoot. And if that's the case, that's good ... it means they really do think you have potential and they just need to see how you look in pro photos.
Sooner or later ... you will have to pay for some test shoots ... it's part of the cost of doing business. Models are actually self employed and must pay for their own marketing expenses and getting photos and building a portfolio is one of the most important parts of it.
So you know, agencies are hired by models (I know, this sounds strange) to find them work and earn a commission when they do that. But, they don't "work" for just any model ... only those that they think can actually make some money. So the models bears the expense of marketing materials, photos, portfolio, comp cards, and the cost of sending them out to propective clients. You need money to start your business.
So, if they can get you a free photoshoot, consider yourself very, very lucky.