I remember that there was this one person who was a huge fan of one of my fics and he wrote good smut himself. The main problem was that he reviewed my fic and admitted in the review that he had just turned 16. If that review were at FF, I wouldn't have cared despite the fact that it's rated M. But it really irked me because this age admission was in a review at AFF after he had reviewed the same fic at FF. I chose to send him a warning about discretion because I was somewhat sympathetic to him. I started reading smut at 14.
I did report him and kept the review up as evidence. One week later, he made the same admission in his story's disclaimer after he had joined the site. I had to report him again, and I was extremely pissed off this time. I liked him as a reviewer, I liked him as a writer, but I can only tolerate so much stupidity. I deleted the review once the second report was acknowledged.
Tell this fan: "I'm glad you like my work, but please use some discretion when reviewing and don't admit to being a minor. You're incriminating yourself and you put me at risk. I'm afraid I'll have no choice but to report you in the future for the sake of the site, the story, the readers, and myself. Whether or not you continue to visit adult sites is up to you. All I ask is that you be smarter about it."
So I've just re-iterated what others have been saying. It's the most balanced response I can think of. If this reviewer heeds your warning, apologizes, and exercises some discretion, then good for the reviewer. If not, you can rest knowing that you've done your part to address the issue tactfully.