Yes, Agilex 9 devices are supported in DSP Builder, and every other Altera Quartus tools, but it requires that you have the device licensing correctly install to enable these devices. Based on your response, it is likely that your quartus.ini file with the license information is in the working directory when you are running Quartus, but it is not the working directly when you are using DSP Builder.
You should be able to resolve this issue, but copying the quartus.ini file to the working directory that you are using for demo_fft Matlab/DSP Builder project or alternatively include the licensing file in the $QUARTUS_ROOTDIR/quartus.ini file so that it is found by all Quartus tools. This may not be possible if you have your EDA tools are managed by another team.