Manager at Agile organization and one of your direct reports comes to you with questions regarding some of their work?

@Rose Reid, Not sure I fully understood the question but, is this direct report or employee a part of the Development Team? What is the nature of the questions for which the employee requires the manager's help instead of one of their peers?

Why would an agile manager think of people as “reports” at all?

What is the role of the manager in this organization?

Regardless, one of my first questions would be why the person is coming to me and not someone else on the team, whether it's the Product Owner, a Scrum Master, or a Development Team member. The team should attempt to solve as many problems as possible internally, but there may be some that need external intervention. But without knowing the role of the manager in the organization and the relationship between the manager and the Scrum Teams, it's difficult to say if the manager is the correct person to be involved or what type of involvement is appropriate.

I can relate to this because I am currently a Manager in an Agile organization.  Here is my advice...

Start the conversation by asking the individual what has already been attempted to resolve the situation.  If the response does not include consulting the rest of their team then I would ask the question "Did anyone on your team have any suggestions that could help?".  I try to subtlely direct the individuals to work with their team. I place the thought into their heads in hopes that it will start to become the first thought.  At times I will even suggest to them someone on their team that I feel could help and tell them to come back to me if they still need my help.  I am also not afraid to just pull people from their team into the conversation on my own.  I do my best not to solve their problems unless there is absolutely no other choice.  As an agile manager, I want to encourage team involvement in all problems rather than encouraging an individual to work on their own.

Now that I said all of that, if the individual is coming to me with a question because I have experience in the area and can give some valid advice, I am willing to provide an opinion.  But I also provide suggestions of other people on their team that they should approach and usually make sure it happens by including those other individuals in our conversation.  

There is nothing wrong with being an advisor. Just be sure that you don't become their only advisor or solve the problems for them unless there is absolutely no way that it can't be solved otherwise.  Whether we like it or not, in corporate world sometimes politics comes into play and a person's title is needed.