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Very rarely. We have presubmit actions that confirm everything is building and passing tests. And I insist on at least some degree of testing in all cases. Running it locally would be of little help for our case because the systems I work on are large enough that it's not trivial to examine behavior through local commands.

Think of an rdbms, and I'm reviewing changes that optimize or allow new schema options. It would not be productive for me to design new schemas each time I review code. Instead, the person sending the review should already have done that work in tests.