What are the distributors supplying you and what is the risk associated with those products. Who supplies a part is only a small part of the overall risk. Authorized distributors are normally lower risk
Digikey is an electronics component supplier, so I suspect the parts they supply end up in the final product your company sells, and therefore are may no be a low risk supplier.
While I have not personally had any interaction with Digikey, others at my company do. My company does have our electronics distributors complete our supplier survey. Our survey is relatively short and focuses on updating key contacts, verifying that certifications are still current (typically expiration dates, cert numbers, and similar), and making the supplier acknowledge our key requirements.
I have been in a couple of meetings with Digikey's competitors. How you purchase from a distributor may matter. If you establish a commercial account and are assigned a customer service rep., that person can often handle quality agreements, surveys, etc. You may also get better pricing. If you just order from the website, you may not get the same level of service unless you use a commercial account login.
McMaster-Carr sells a wide variety of products. Depending on what you buy and how the products are used, your purchases may be low risk or higher risk. Adhesives and mechanical hardware (screws etc.) are two things McMaster-Carr sells that you might incorporate into your final product, and need to manage the risk accordingly. On the other hand, a ladder likely has no impact on product quality.