Is it forbidden for a young man to help his female colleague in her studies, offer her advice on various life matters, and communicate with her via messages with the knowledge and supervision of her family?

Helping others is a blessing, and Allah helps His servant as long as the servant helps his brother. However, your assumption that you are safe from temptation is incorrect, for the temptation of women is great, and the Prophet, peace and blessings be upon him, warned against it. Your family's encouragement of the girl to do that is also wrong, and the presence of people does not prevent temptation and its negative consequences. Beware of following the footsteps of Satan, and your relationship with this girl is impermissible; it must end now.