This is the fifth in the list of agile limitations:

1. A team of stars
2. Fit with organizational culture
3. Small team
4. Collocated team
5. Where's my methodology?
6. Team ownership vs. individual accountability

Software development methodologies include several processes, such as analysis, architecture, implementation, project management, configuration management, and so on. However, most agile methodologies, such as Scrum for example, do not define processes. In particular, most agile methodologies do not define any project management processes. Whether we're agile or not, we need to manage changes, risks, budget, and so on. As far as I know, lightweight processes doesn't mean no processes at all! And not everything can be stuffed in short daily meetings without written records.

As a consequence, most agile software development processes are not methodologies, they are no more (and no less) than sound principles and practices to manage the day-to-day operations of small projects (I would call that "team management"). This is great, but hardly enough to manage projects. Similarly, the person managing agile teams is more a team leader than a project manager, the main differences being that a team leader doesn't manage budget, scope, planning, and reporting for example.

Fortunately, complete agile methodologies are emerging. I personally like OpenUP, because it is minimal, complete, and configurable through the Eclipse Process Framework. It is to my knowledge the only agile software development process that is a methodology (call me picky).

Unless you choose an agile methodology that encompasses all needed processes, you should combine it with a methodology that define these processes and rely on agile for day-to-day team management. Moreover, keep in mind that you need to remain credible with upper management and other stakeholders, who are likely to judge your competence based on processes such as scope, risk management, planning and reporting.