I do, whenever it's possible and I can get away with it. Increasingly, online documentation is organized in a way that there's no really meaningful way to read "all of it" because it's not organized linearly. Back in the days when documentation actually _had_ literal covers, there was a clear order that you were supposed to read it in, and (at least some) care had been taken to ensure that concepts were defined before they used. Most online documentation seems to be written under the assumption that you already know what it's for and why it's useful, and you're just looking for how to accomplish some specific task.
There are still physical printed books from publishers like O'Reilly (although their quality has gone way down) that do try to actually explain the what and the why along with the how, but I run into some sort of reverse snobbery when I try to dedicate time studying them: "why are you reading a _book_? Just search the online documentation or google it".