After lot of tries, I gave up and use custom code, which took me 15 mins. That's how I did it:

function custom_dataset_views_pre_view ( &$view, &$display_id, &$args) {
  if ($display_id === 'entityreference_1') {
    // Get the node
    $url = arg();
    if ($url[1]) {
      $node = node_load($url[1]);
      $agency_id = $node->field_theme_working_group['und'][0]['target_id'];
      // Get the views filter
      $filters = $view->display_handler->get_option('filters');
      if ($filters['field_agency_target_id']) {
        // Change the filter
        $filters['field_agency_target_id']['value']['value'] = $agency_id;
        // Push the filter back
        $view->display_handler->override_option('filters', $filters);
      }
    }
  }
}

Despite it's working, I would still like to know how to achieve this in plain views, or using tokens.

After lot of tries, I gave up and use custom code, which took me 15 mins. That's how I did it:

function custom_dataset_views_pre_view ( &$view, &$display_id, &$args) {
  if ($display_id === 'entityreference_1') {
    // Get the node
    $url = arg();
    if ($url[1]) {
      $node = node_load($url[1]);
      $agency_id = $node->field_theme_working_group['und'][0]['target_id'];
      // Get the views filter
      $filters = $view->display_handler->get_option('filters');
      if ($filters['field_agency_target_id']) {
        // Change the filter
        $filters['field_agency_target_id']['value']['value'] = $agency_id;
        // Push the filter back
        $view->display_handler->override_option('filters', $filters);
      }
    }
  }
}

Less elegant, but finally working. Despite that, I still would like to know how to achieve this in plain views, or using tokens.