How to tell my Scrum Master that he needs to be more Agile?

This situation brings up a few questions.

Does the team want to change and to embrace the agile principles? Why doesn't the team go to the Scrum Master - is it convenience or is it fear? Does the Scrum Master observe the team during events or at various points throughout the Sprint?

What you describe could be indicative of a very hands-off Scrum Master who is expecting the team to ask questions before sharing observations and/or suggestions. Or it could be something else.

Have you considered directing the team to the Scrum Master when they have questions best answered by someone in that role?

Hi everyone, 

I know I am the relative newbie, but here is my take.

Courage means having hard discussions even if it could mean some hurt feelings. That said, scrum is about improving iterations, so a scrum master should also see this as an opportunity to inspect and adapt. How your scrum master takes feedback is telling.

Fundamentally, as a PO, your job is about maximising value, and if you think that there is a lot of value that is being left out there in the field, I think it is best to do have a conversation sooner rather than later.

Here is an excellent case study on this topic and why the Scrum Values are so important.  It looks at a reboot of an organization that failed with Scrum and has now been very successful by focusing on the values.

https://www.scrum.org/resources/intralinks-case-study-scrum-reboot-time-values

In addition to that, our Scrum Master doesnt want to sit in our room, which happens that when issues occur the team comes to me.

When I'm taking a step back I see a Scrum Master who brings in a good portion of emphaty and a basis of Agile knowledge. He told me that he was asked 2 years ago to take over the role. He is now Scrum Master of 2 teams and has additional project tasks. 

Taking a step even further back, might you be in a better position than he is to fill the Scrum Master role yourself?

our Scrum Master doesnt want to sit in our room, 

If the Scrum Master is on 2 Scrum Teams, then you can't expect that they will be in your room all the time and neglect their other team.  They should be splitting time with each team. Sometimes this means less time with one team and more with the other depending on which team is more in need of his time.  I am currently Scrum Master for 3 teams and have had as many as 5 at my current employer.  Currently 2 of my 3 teams are functioning well as a team and are consistently producing valuable increments that satisfy the Sprint Goals. One of my teams was recently changed by adding some additional developers so they are still finding their way as a new team. I spend more time with them. 

Teams will always be able to improve but in most cases there needs to be a motivating reason. If you feel there is a way to improve you should also be transparent in why you feel it is needed and what benefit you see derived from the change. Offer it up to the team for discussion. The goal is for the Scrum Team to be self-managed, self-organized.  In that situation, the Scrum Team should identify opportunities for improvement.  You are a member of the Scrum Team but you are not the leader or manager.  You will not always get your way in how the team performs the work just as any other member of the team will not always get their way.

I have to push my Scum Master and the Development Team constantly to embrace the Scrum Values, to explain why we should change instead of trying to change Scrum. 

From the Scrum Guide

When the values of commitment, courage, focus, openness and respect are embodied and lived by the Scrum Team, the Scrum pillars of transparency, inspection, and adaptation come to life and build trust for everyone.

Which of these Scrum Values are you embracing when you push? 

I can empathize with your situation.  As a Scrum Master I have exactly the same situation but I had an indifferent PO and Dev Team. I was able to influence some change but it was not sudden or all at once. I have resorted to letting the team fail in order for them to realize that they needed to change. Other times I suggested an opinion with my reasoning behind the suggestion. After conversations the team came up with incremental experiments to work towards some variation of my suggestion. I see that as a great thing because ultimately whatever changes occur it is done by the team and not me. 

I think you should discuss this with your Scrum Master, what "the plan" is with the team. As a SM myself, I'm constantly making a "dance of self organising" with the team. Taking a step back and seeing if the team is willing to fill in the gap. If you're constantly closing the gap, you might interfere with your scrum master's plan, or your scrum master might just not be aware of the issue.

It's an interesting one, some much depends on why they are doing this.

Going to the title though, I wouldn't "tell" them anything. 

They may be healthy reasons for the way the SM is behaving, there may also be unhealthy reasons for it, but telling them won't help.  Try a few coaching techniques such as open questions to find out. "Do you realise the Team come to me with their issues?", "Why do you think that is?",  "Is it healthy" etc...

Just to Niel's point above.  I recently worked with an old team member of mine again.  He is now an Agile Coach / Scrum Master and an excellent one.  To my surprise he credited me with getting him into that line of work, he was the one who stepped up when I started stepping back from retros on a mature team as the team could handle them without me (+ had too many teams).  The more mature a Team the less a Scrum Master needs to be involved.  I've heard it said that a Scrum Master's job can be seen as one to make themselves redundant (I don't go that far - but certainly less busy).