Typically in agile based projects, the product that the project is aiming at delivering usually gets scoped in real time. Very early in the project, the team begins to work on the product and because the feedback cycle is in real time, there are many changes that happen as the team begins developing the product. The sponsor may not like a certain feature or perhaps had a second thought about a feature that was initially developed, but after seeing it in use did not make sense, so it gets scrapped. Due to the nature of agile, changes are happening all the time. If changes are not welcomed, the biggest risk of the project is that the team ends up developing a product that the sponsor is not satisfied with or does not provide value.
It is uncommon for agile methodologies to have a Change Control Board, but there are dozens of agile methodologies out there and I wouldn't be surprised if at least one of those have a change control board. Generally speaking, a Change Control Board is not associated with agile.
Hope this helps!
Regards,