As for the walls of Jerusalem, that were adjoining to the new city [Bezetha], he repaired them at the expense of the public, and built them wider in breadth, and higher in altitude; and he had made them too strong for all human power to demolish, unless Marcus, the then president of Syria, had by letter informed Claudius Caesar of what he was doing. And when Claudius had some suspicion of attempts for innovation, he sent to Agrippa to leave off the building of those walls presently. So he obeyed, as not thinking it proper to contradict Claudius.
One wonders if history might have turned out different had Agrippa succeeded in what he had started. (Innovation here, and in Josephus generally, means political innovation, i.e. overturning the established order.)
I, Claudius relates how Agrippa, from having been a lifelong friend of the Emperor Claudius, eventually rebelled from him, but died before the rebellion had a chance to get going. Josephus makes no mention of this, though.
I'd heard the following story, which I am quoting from Wikipedia, before, but thought it was about Herod, worrying about his Idumaean ancestry. Turns out, it was about a Herod, but Herod Agrippa (= Agrippa I), rather than Herod the Great:
The Mishnah explained how the Jews of the Second Temple era interpreted the requirement of Deuteronomy 31:10–13 that the king read the Torah to the people. At the conclusion of the first day of Sukkot immediately after the conclusion of the seventh year in the cycle, they erected a wooden dais in the Temple court, upon which the king sat. The synagogue attendant took a Torah scroll and handed it to the synagogue president, who handed it to the High Priest's deputy, who handed it to the High Priest, who handed it to the king. The king stood and received it, and then read sitting. King Agrippa stood and received it and read standing, and the sages praised him for doing so. When Agrippa reached the commandment of Deuteronomy 17:15 that “you may not put a foreigner over you” as king, his eyes ran with tears, but they said to him, “Don’t fear, Agrippa, you are our brother, you are our brother!” The king would read from Deuteronomy 1:1 up through the Shema (Deut. 6:4–9), and then Deuteronomy 11:13–21, the portion regarding tithes (Deut. 14:22–29), the portion of the king (Deut. 17:14–20), and the blessings and curses (Deut. 27–28). The king would recite the same blessings as the High Priest, except that the king would substitute a blessing for the festivals instead of one for the forgiveness of sin. (Mishnah Sotah 7:8; Babylonian Talmud Sotah 41a.)
The reason the people told him "you are our brother" is of course because Hyrcanus I conquered Idumaea and gave the inhabitants the choice of exile or converting to Judaism.