That's true most of the time. In this case, however, it may not be necessarily be the best idea. If the bag doesn't exist in AI's system (due to B6's screw up), there's only so much AI will be able to do.

There have been a variety of similar situations posted on FlyerTalk (most memorably an EK-BA connection which got completely screwed up) where the poster was only able to resolve the situation by talking to the originating carrier. Talking to the delivering carrier is generally the best practice, except in cases when the delivering carrier doesn't have any record that your bag exists.