Because what type of conversation am I going to have with my own colleague?
"Hey Jimmy, I have some feedback from somebody else who was present at that meeting last Tuesday. I know I wasn't there to witness first hand, but here goes..."
Not sure that gives my colleague the opportunity to improve? If said colleague had ignored or disregarded the feedback provided by another manager then I'd be more interested.
Because then they immediately now have two managers and it gets messy when trying to decide who gets priority.
If you and a colleague at the same level both manage staff, and a member of your colleagues team has an issue about one of your team then the complaint goes to your colleague, across to you, and then you take whatever action is appropriate - which could be defending the guy and ignoring the grievance if that's appropriate.
It might be that managers 'managing' staff that they aren't managers of (confused yet?) is common in certain industries but I can't see how it wouldn't lead to confusion and issues.