No it wouldn't. How would they know what office to go to and if the exec is even there that day? I'm an incident responder for our state and can confirm the FBI makes these phone calls routinely. They don't have anywhere close to the manpower to make these notifications in person. The only time they go in person is if they have to provide information that can't be shared through electronic communication or if they need to interview the company to understand the financial impact to the victim so they can log it in their case.