Before I answer, let me check that you do mean the Mediation Agreement, rather than the Mediation Settlement Agreement?
The Mediation Agreement is your agreed rule book for how the mediation will run. It includes everyone’s undertaking to maintain the confidentiality on which the process depends. If you don’t demonstrate your willingness in writing to be bound by these mutual promises no one will risk entering a mediation process with you. Your share of the fee will be returned to you and no mediation meeting will proceed.
The Mediation Settlement Agreement is the record of terms on which you bring your dispute to an end. It replaces your legal rights of action. If you do not sign this having agreed the terms orally, you will cause bafflement and annoyance in the other participant. If proceedings are running it could greatly damage your costs outcome at any future trial. If you have not agreed settlement terms orally, of course there will be no Settlement Agreement to sign. There is usually no penalty for trying but failing to agree terms.