I agree with this, and disagree with the parent comment's framing of this as "going outside the chain of command", but I do think that if you have a healthy relationship and open communication with your direct manager, I can't think of many reasons not to tell your direct manager something before telling your skip-level (or above), as a courtesy and an opportunity for them to address the issue first but not because of some rigid expectations around "command structure".
Of course this isn't a hard rule, if I'm having a conversation with my skip-level and some topic happens to come up that I haven't spoken with my manager about before, I'm not necessarily going to hold back just because of that, I can follow up with my manager later. But if something's bothering me or I have some feedback or something like that, I'd generally chat with my manager about it before anyone above them.