Should QA troubleshoot while things dont work?

Before this title misleads you about "troubleshooting". I am talking about the very basic preliminary check that QA should do before creating a bug. Or should they not even be concerned about it?

To be more clear, here is an example. Let's say, an application gets the data from an outside source via a xml file. Once this xml is received, the internal system will process that message and creates a record in the database which then will be shown on the UI. Considering this case, when QA doesn't find the data on the UI. Would you expect from QA to check in the database and if not found then eventually in the server whether the file is even received or not before creating a bug? I am more curious about how you(if you are a QA) or your QA team handles it.