I have listened in on quite a few customer discovery conversations where founders took the lead and been amazed at what they think they heard. Small signs of enthusiasm turn into 'they loved it!' while negative comments are often ignored (classic confirmation bias).
However, outsourcing it to a digital agency and waiting for a report is bad for different reasons (expensive, likelihood to ignore the findings, hindsight bias, etc.)
As an advisor to quite a few local startups, I still haven't found what the 'right' approach is...