Ford requires this for their 8Ds. Suppliers have to perform a 5 Why for the cause of the problem, for the reason why the problem escaped to the customer, and for the systemic reason(s) that allowed the 1st two to happen. Since the 8D process has spread across other industries, this has followed.
This is also described in AIAG's CQI-20, Effective Problem Solving. I learned long ago that you are supposed to look for the "root cause" which was usually the occurrence root cause (why the poor quality was produced) but root cause analysis has subsequently evolved to address not only this but also the systemic root cause and the escape root cause (if applicable). That is, the escape root cause might not be applicable if a control such as self-inspection or autonomation caught the defect before it could go anywhere, but we still want to prevent more defects from being produced.
In this case, you should issue a corrective action to your supplier.
My experience with 3 legged 5 why is they want to know how you missed it. What is in place at your facility that allowed it to be shipped to the customer? How did you fail to find it in your incoming inspection process?