Hello there!
An out of tolerance gage is comparing the found error to some established requirement. So, you have two things to look at:
Harry and Bev hit upon the as-found error. Given the magnitude, could it have yielded bad product? Could the gage have suggested that product is good, when in actuality it is bad? If 1 micron would have no impact, then you're done.
To make the numbers easy, let's say your error is:
.01
But your process (and product) is not affected unless there are deviations of say.. .5
That .01 error is insignificant to the .5
Which leads to the second part which is your tolerance. There is a whole Art and discussion on establishing tolerances. But understand that depending on what you are using (like mfg. tolerance), you may find your instrument failing many times on tolerance.
So like above, if you process critical parameter is .5 and my current tolerance is .01; maybe I could increase my tolerance to .05 to avoid so many failures. Just a thought..
Moving forward, however you handle this I would write it up. Note the failure, document what investigation you conducted, and complete with whatever action is necessary. Even if the error had no impact, you would still want to document that.

For the future, consider developing a remedial action plan that can give you a plan up-front, of how to handle failures. It might even involve steps to take given what the magnitude of the failure is.