As the other answers asserted, community members should be directed to avoid offsite communications relating to community moderation because of the reasons mentioned in this answer; especially, this is true for communities having transparency policy, which is discussed in this answer
It is worth recommending that communities should have reliable and responsive contact ways between community members and community managers (administrators & moderators) in order to reduce offsite contacts.
However, there is an exception for communities lacking transparency. If community members see some privilege abuse from other members, they can report it to community moderators; if community members see some privilege abuse from moderators, they can report it to community administrators. But, how about if some privilege abuse from some administrators, especially those who are responsible for dealing with help requests from community members, occurs?
There should not be a deadlock in such a situation. So, the only exception is: If no reasonable progress happens after reporting some abuse to community managers via regular contact ways defined within a community (lacking transparency), it may be good idea to contact community administrators who are responsible for monitoring relevant community managers' work.
Thus, if you, as a moderator (can also be an administrator), face a nonexceptional offsite contact (concerning some moderation issue), you should ignore it; however, if an offsite contact is an instance of the exception mentioned above, then it is recommended to consider it in case it is worth examining it.