SHU
The team is at the Shu phase when they are new to Scrum or new to each other. At this stage it is not rare for the team to change or drop Agile practices and lose the intention behind them. In some cases they might mash up Scrum with something else so that their practices are not even clear to them. Therefore they need the Scrum Master to guide them to practise at Shu. In this beginning stage, the teams follow the teachings precisely. They concentrate on how to do the task, without worrying too much about the underlying theory. When a team is first learning something, a variety of ideas is not usually the most helpful place to start. If there are multiple variations on how to do a practice, they concentrate on just the one way their master teaches them.

HA
The team is at the Ha phase when they live by ideals in the Agile Manifesto. In all they do, they stand on the side of individuals and interactions, working software, customer collaboration, and responding to change. They have the basic practices working well and start producing new insights that let them improve each Sprint. They pause to consider the ramifications before they alter, drop, or add an Agile practice. At this point, with the basic practice working, teams start to learn the underlying principles and theory behind the technique. Once teams get the basics down, they move on to experimenting and looking to integrate new thoughts or ideas. They keep learning from the Scrum Master and integrate that learning into their practice. They need the Scrum Master to coach them to a deeper expression of Agile.

RI
The team is at the Ri phase when they altered their practice of Scrum and did so consciously, keeping the values and the principles of Agile alive, their practice of Agile leads to progressively better and faster delivery and higher satisfaction. They took in the skills and mind-sets necessary to be truly self-monitoring and self-correcting and they are now not learning from others, but from their own practice. They create their own approaches and adapt what they have learned to their own particular circumstances. Eventually they will move beyond the specific practices and evolve their own way of doing things. At this stage, the Scrum Master needs to let them go.

All the different levels require different coaching styles. The Scrum Master should understand in which stage the team is to help them to perform in a more efficient way. Below I summarise what the various coaching styles should be.
At Shu stage the SM must teach the rules. The teams that are at this level have a basic knowledge of Agile values/principles/practices. They need to have someone to guide them.
At the Ha stage, teams can come up with their solutions, they just need a coach to help them find different ways to achieve what they need. Teams have a good understanding of agile values/principles/practices, they start to interiorise them from their past experiences. The role of the SM works as a coach while they start to understand how they can use different approaches to achieve the same result.
In the Ri stage, the team has fully internalised the values, principles, and practices. Everything runs quite well, the role of the SM works as an advisor.

One important thing I would like to add is that each successive stage contains the others. For example, if a team is in “Ha”, but you want to introduce a new practice or idea, remember to use a teaching approach because the team is new to that practice so that they will be in Shu for that idea. This is important because most probably you will be changing coaching styles depending on the practice or idea that you want to feed into the team.