I think this depends on the scale and type of the project, but it's good to get in the habit of codifying tests and setting up CI ASAP. It's basically scaling you pulling down code and running it. Now with containers, there isn't much of a reason to not have automated build checks and testing. Even when you have changes in a distributed environment, things like docker-compose make it much easy to create mocked CI environments with dbs, caches, etc. Also, CI helps me prioritize PRs when I have many to review. Being able glance at github to see which ones are mergeable immediately vs which ones may have other dependencies causing CI to break is great.

If you're working on some legacy codebase and don't have these luxuries, I totally get running it locally first. I am lucky to work with people who I do trust deeply to not waste others' precious time by testing first so there is probably also a human element for me.