Building software used to be simple. You worked on one system with one executable. You compiled the executable and if the compilation passed, you could run your executable and play with it. Not anymore--and trying to follow Agile principles can make it even more complex. Today systems are made of many loosely-coupled programs and services. Some (maybe most) of these services are third-party. Both your code and the other services (in-house and third-party) depend on a large number of libraries, which require constant upgrades to keep up-to-date (security patches are almost always mandatory). In addition, these days, a lot more systems are heavily data-driven, which means you don't deal with just code anymore. You have to make sure your persistent stores contain the data for decision making. In addition, many systems are implemented using multiple programming languages, each with their own build tool-chain. This situation is becoming more and more common.
To follow Agile principles and allow an individual developer to have a quick build cycle of edit-built-test requires significant effort. In most cases it is worth it. There are two representative cases: small and large:
The big case can often be broken down into multiple small cases. So, let's focus on the small case. The recommended solution is to invest the time and effort required to allow each developer to run everything on their own machine. That may mean supporting cross-platform development even though the production environment is very carefully specified. It might mean creating a lot of tooling and test databases that can be quickly created and populated.
It is important to cleanly separate that functionality from production functionality. I call this capability system in a box. You can run your entire system on a laptop. You may need to mock some services, but overall each developer should be able to test their code locally and be pretty confident it is solid before pushing it to other developers. This buys you a tremendous amount of confidence to move quickly and try things without worrying about breaking the build or development for other people.