Most frequent case of talking about the issue with the player should be done would most likely be with when you are offended. While you should take care to not offend anyone, you may do it on accident in which case those who are offended should contact you first that you are offending them, then if they continue they now know they are being offensive so it is a good idea to report it to the magistrates. (My apologies for saying you instead of something else, its just easier for me)
Okay, but otherwise, it is best to just report?
For instance, I had seen an event which I believed to be against the rules, and contacted the player privately to inquire about it and cited a specific case, so they could be aware of it if they weren't. Was that wrong to do? I wasn't offended personally, I just saw something that wasn't fitting with the Social Contract and had been previously ruled upon.