Villa's decision to appoint McLeish less than a week after he quit arch-rivals Birmingham has incensed supporters.
It is not only the 52-year-old Scot's association with Blues which has been a source of consternation - and even protest - but the perception he advocates a direct style.
Agbonlahor, 24, said: "At Birmingham his team had to play a certain way and some Villa supporters seem to be worried about that kind of style because it's not Villa's way.
"But with the talented group of attacking players he'll have at his disposal here, it will be a lot different and I'm sure that's another reason why he's taking this challenge.
"He will have a really good group of players to work with here, a strong squad and I see exciting times ahead, I really do.
"To those Villa fans who don't seem to be happy with his appointment, my message is simply to give him a chance and see what he can do.
"He'll do well here. He'll do a good job for the club."
McLeish's appointment was confirmed yesterday but the controversy it has caused seems far from over.
McLeish accepts he must win over supporters while Birmingham are also determined to maintain their legal challenge.
Blues accused Villa of tapping up McLeish earlier in the week and they insist they are entitled to compensation for the two years that were remaining on his broken contract.
A statement read: "The fact that Alex McLeish has been appointed as manager of Aston Villa does not, in any way, mean that the legal dispute is over and Birmingham City Football Club maintains its stance and shall vigorously pursue the matter.
"We are very disappointed with how the club and its fans have been treated by Mr McLeish, given the way we have supported him over the years and we are still looking into whether Aston Villa's conduct has been in line with Premier League rules.
"As the club is currently enforcing its legal right with Mr McLeish the matter is in the hands of our lawyers."
McLeish, a former Scotland and title-winning Rangers boss, suffered his second relegation with Birmingham last month but did win the Carling Cup earlier in the year.
He said: "I know that some of our fans have voiced concerns and I can understand why.
"It will be up to me to convince you that I am the right man to drive the club forward and I intend to give absolutely everything to prove that I can be a success at the club."
Source: Team Talk
Source: Team Talk