If something happens to you that might be seen in a bad light, escalate it.
If someone raises a concern with you, especially with your behaviour, escalate it.
If you find out someone has some issue with you, escalate it.
If you’re about to do something risky, escalate it.
Why? Because if things go bad, they can go really bad if no-one else knows. It will look really bad if someone goes to your boss and says “He did this” and your boss says, “I had no idea!?!”
A much better scenario is your boss says, “Yes, I know all about it. He and I have spoken, and there’s more going on than you know.”