Let's pretend one of your kids was doing something really bad like drugs, cutting themselves or pregnant at a young age. What would hurt you more, hearing this bad news from them or from another one of your kids?
But, hearing it from someone else might be a relief, because you'd know you're probably getting the full story, and you know that someone else is being a support to that troubled kid.
I can't speak to parenthood, but I'd feel better hearing that a close loved one was hurting themselves from that person... I think I'd feel kinda betrayed if that message had to come through someone else, instead of them willingly owning up to it and trusting me and maybe looking for quidance...