It sounds dodgy to me.
The fees you are paying them, are they a flat fixed monthly fee or are they based on a % of annual rent?
The only reason I'm asking is they could be telling you they are getting (say) £1,000 a month and lodge this directly into your account, and in the meantime the tenant could be paying them (say) £1,200 as prescibed in the lease drawn up by them. [Sorry for being paranoid - it was the first thing I thought about after reading your query]
Are they one of the larger letting agencies like Foxtons, Knight Frank?? If so then you probably have nothing to fear.