Not only I have never dealt with a private investigator but I can't harly imagine the kind of situations that leads someone, in the real life, to hire the services of those professionals. Perhaps matters of lover's jealousy, divorces, marital infidelities and so on.
Apart from these "romantic situations" here is not unusual for the employers to investigate wether people absent from work for illness, can really work or not.
When I was student I had many part-time jobs, like care of children, publicity delivering, polister, salesgirl...but I never did such a tricky and a bit dangerous job.