True, unless they see something on a simple training exercises. In that case they can't do anything other than pass on a tip of what they saw law enforcement. An in the USA, there are full time state/guard counter drug positions who do such things, and they work with state law enforcement...But your talking about state national guard positions working for a Governor and NOT the federal active duty military.
In a state guard, they work for the Governor of the state first. They only become federal active duty troops if activated by the president, then in that case, they become full time active duty and are no longer able to assist in a state government exercise unless the president allows it.