There seems to be an issue with this advanced filter.
However, there seems to be a specific API for your use case (to get direct reports)
https://learn.microsoft.com/en-us/graph/api/user-list-directreports?view=graph-rest-1.0&tabs=http
GET /users/{id | userPrincipalName}/directReports
Alternatively you can also use
GET /users/{id | userPrincipalName}?$expand=directReports
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