If you right-click the agent pool and choose "Update all agents", it will upgrade the agents to the version of the on-premise TFS server. For instance, if you initially installed some RC, and upgraded the server to RTM later, some agents might have lower version. Otherwise, as you mentioned, nothing will happen because all agents are up to date.
VSO has a different release model and updates/fixes to its agents are continuously delivered. That's why the version is constantly growing.
Technically it might be possible to grab the source code of the latest VSO agent tasks, and push it to the on-premise version of TFS 2015. However, it is considered an anti-pattern, and the behavior is undocumented and unsupported.
Let me quote build vNext developers from this discussion (see the bottom of the thread):
That is not a supported option. It is very likely that the agent we
have in VSO will not work with the on-prem server. You must use the
version of the agent that ships with your server.
And:
The behavior is undefined/untested. It may work, may not. The design
is for agents to get pulled forward via an auto update process
downloaded from your service. The auto update process may alter
configs/layout on disk, whatever. That future agent might call REST
apis that don't exist, etc... The primary focus for agents is on
forward compat so they can lazily get upgraded (via task minimum agent
demand, on restart or eventually a scheduled job).