That's how I was taught (via managers on reddit actually, not irl).

Dig as far as you can, record it all, then escalate. You also have to gauge how critical it is and how much of your time (esp. if other things are building up) to spend on it as a factor of when to take it up the line.

Tbh, I haven't had any managers lately that have been that great but I'm still holding out hope.