Local search is a fundamental method in operations research and combinatorial optimisation. It has been widely applied to a variety of challenging problems, including multi-objective optimisation where multiple, often conflicting, objectives need to be simultaneously considered. In multi-objective local search algorithms, a common practice is to maintain an archive of all non-dominated solutions found so far, from which the algorithm iteratively samples a solution to explore its neighbourhood. A central issue in this process is how to explore the neighbourhood of a selected solution. In general, there are two main approaches: 1) systematic exploration and 2) random sampling. The former systematically explores the solution's neighbours until a stopping condition is met -- for example, when the neighbourhood is exhausted (i.e., the best improvement strategy) or once a better solution is found (i.e., first improvement). In contrast, the latter randomly selects and evaluates only one neighbour of the solution. One may think systematic exploration may be more efficient, as it prevents from revisiting the same neighbours multiple times. In this paper, however, we show that this may not be the case. We first empirically demonstrate that the random sampling method is consistently faster than the systematic exploration method across a range of multi-objective problems. We then give an intuitive explanation for this phenomenon using toy examples, showing that the superior performance of the random sampling method relies on the distribution of ``good neighbours''. Next, we show that the number of such neighbours follows a certain probability distribution during the search. Lastly, building on this distribution, we provide a theoretical insight for why random sampling is more efficient than systematic exploration, regardless of whether the best improvement or first improvement strategy is used.