Fans have been frustrated by fakeouts in the past, but this case may be different.
In some ways, Agatha All Along broke the mold for the Marvel Cinematic Universe, but when it came to its most mysterious antagonists, it stuck to a familiar formula. Some critics have pointed out that the show pulled the 'ole red herring trick that has become so familiar in the MCU. However, it's worth discussing whether this held the show back or helped it slot in with the wider franchise.
Fair warning: there are spoilers ahead! No matter who you consider to be the "big bad," Agatha All Along introduced us to them early. Many fans expected the Salem Seven to be more active villains, and to play a bigger role in the show's finale. They would be the best example here of a red herring - an intentional distraction left by the creators to throw viewers off the scent of the real mystery. It especially makes sense since this group already had a strong connection with the titular character before the show began.
While they are a looming threat throughout the show, the Salem Seven are only really seen in three episodes, and they are defeated by Lilia alone in their first real confrontation. On top of that, they are not characterized much at all, making them weak candidates to be the villains of this story. Even if they had made it to a more climactic showdown, they wouldn't have been central to the narrative.
Most fans would probably say the real villain of this series was Rio - a.k.a. Death, played by Aubrey Plaza. However, one could call this a red herring as well. In the end, we learn about Agatha and Rio's history through a flashback, casting all of their interactions in a new light. Even the scene where Rio tries to "kill" Agatha is not so threatening once we know that Rio is Death incarnate, and we've seen her guide others to the afterlife gently and kindly.
Still, Rio provides the dramatic stakes and the climactic battle to bring this series to an end, so calling her the antagonist is close enough to the truth. This is especially true if you view Billy as the protagonist instead of Agatha. Billy has disrupted the natural order of things, but not intentionally or with malice. His fight with Rio raises some interesting quandaries about life and balance in a fantasy world, while Agatha's sacrifice is the perfect resolution.
The MCU is full of red herring villains, the most infamous being The Mandarin in Iron Man 3. There was also Bucky in Captain America: The Winter Soldier, the Skrulls in Captain Marvel and the Timekeepers in Loki. The worst offender of all is Agatha All Along's predecessor, WandaVision, which was essentially hundreds of small red herrings disguised as a streaming show. These days, writers and producers have to walk a fine line by subverting expectations while still telling a satisfying story.
Agatha All Along definitely accomplished that - whoever the true villain is. The series is streaming now on Disney+.