This is a tricky question and there is not always a right and wrong answer. The more complex your case is, the more likely you may want to consider an investigative agency. If you are unsure or just not wanting to do any research into your PI, this may also be the better option.

If your case is less complicated, it is highly likely that an investigative agency will sub-contract this case out to one of the sole PI operations for all, if not most of the work. It may be financially beneficial to approach the sole PI first if you are confident in your ability to find a reputable one.