In order for supervisor to see the list of agents to run the report against, supervisor needs to have permissions to view those agents. Set the permissions here: Department > Department name > User > Users > select the supervisor user > permissions tab > users > click "view" for all the users you want supervisor to have view access to.
Note: Above resolution works in standalone environment. However, in ICM integrated environment, we are unable to set the permissions (unable to view User objects) because the permissions tab does not give us option to set permissions. A bug was created to address this issue. Bug id/CDET CSCti70977.