Tell us about yourself!
Yes, agar tolerates alcohol. It doesn't like tannins though. And indeed, gelatin doesn't work with high alcohol concentrations. Source: a free PDF document out there called "Hydrocolloid recipe collection" - fire up Google and search for it. You'll wonder how you ever did without.
The ones with the thin membrane are not made with agar but with sodium alginate and a calcium salt (calcium lactate is common - some people use calcium chloride but it has a horrible taste). You can however take an ice ball and dip it in hot agar, which will leave a membrane around the ice, and once melted it'll be a membrane with a liquid core. I'm not sure how well this technique would work for very small ice pellets though, I've not tried it for small sizes.