I'll disagree with Karlson on this one. You don't have to, but it's not very helpful.
Just like the discussion on meta about closing Q with no research, my approach is a case by case.
New/recent users will get a comment, a link to the FAQ or some sort of explanation as what exactly is going on.
More established users however are expected to know how things work, so dupes and off-topic are self-explanatory, though unclear still needs a comment in my opinion. When voting unclear I try to always request clarifications, and sometimes I'll delay voting if the Q was recent enough, to leave them time to answer/edit/update.
Are we more concerned about upholding our guidelines or welcoming and helping out people ?