There are a number of aspects to this, but at a high level, yes - the PM will absolutely want to clearly understand why the planned work has not been completed. However, this should be brought up (and resolved) in the retrospective. From the dev side, there are many factors that can contribute to sprint failures.
Some things you may want to consider:
Too much in the sprint
If you are regularly committing to too much work, then sprints will fail. The sprint velocity should be tracked over time to find out what the optimal number of points (or days) is.
Ensure that sprint planning adequately accounts for non-development activities like the ceremonies, holidays, training, admin, support and other projects etc. Automatically assuming everybody is developing every minute of every hour they are physically in the office is just not practical and will immediately put you on the back foot from the get go.
You're doing refinement, but are there certain sorts of tasks that always overrun? Commonly these are down to missing or vague requirements. If the requirements are woolly the story should not even make it into the sprint unless it has been adequately refined or a spike has been planned.
If the velocity is being properly tracked, the true number of stories should become clear. That isn't to say they'll always be done in time but it should make things a lot easier.
On any project, good will is limited. If you're constantly working out of hours to deliver, morale will suffer and devs will burnout - this is a project management failure. As I've already outlined, make sure sprint planning only schedules a realistic number of stories using velocity and spikes to help you along the way.
If an item is badly refined or just plain woolly, don't be afraid to put a spike in to provide a better estimate for later sprints. Yes, some people are just bad at estimation but most of the time, the full facts just aren't known at the time. Ideally, this should have been covered in the refinement or picked up early by the PO, but sometimes they can slip through into a sprint. Developers should be pushing back on these hard as these can easily torpedo a sprint that is otherwise going well.