This could be implemented by having each hero have a "personality page" or some such that would displays wants and desires of the unit. Give a small xp bonus(or equivlent for empire) each time a want is satisfied.

You could have a hero that likes fire and would request fire related items. Early on he will request fast weapons and light armor - later on he would request fire amulets and flaming swords.

or you could just have as a gripe page ie: My armor seems inadequate compared to my enemies, I hear Sauriman of the Magnar has an enchanted long blade that can sunder a mounted rider in twain. Why are my pants yellow and shirt day-glow pink?

If would enable advice and feedback without it feeling like a tutorial or being told what to do. It would also give flavor and unique character to the champions - making them a little less bland statbags and more like MOM's stand out champions.

I like this idea.  It most definitely gives your adventurers/children their own persona.  It can also teach those that are attentive enough which items go better with which stats.  Basic example: A Warrior that holds strength to be their favorite stat would suggest getting an attack amulet or a constitution ring.  Now you know for future warriors you control to aim for those stats.  More or less a nudge in the right direction not a full blown tutorial as you said. 

Hell in my mind each of my heroes and each of my offspring already have their own personalities that I gave them   but I have a soft spot for randomly generated things like your children.  They can come out with great magical power or great strength or even end up supporting your allies instead of you if you've married yours off to another kingdom.