I'm not too sure about the reporting rules for the FAA (despite the fact that I'm currently in the border with a small aircraft...), but I would imagine that a little common sense would apply.
If that student was flying in controlled airspace with traffic in the area, and the student didn't tell anybody about it, then probably yes. Something like that probably should be reported.
But if it was at an uncontrolled airport, and the student did what he could to remain clear of cloud (and hopefully, with the intent to land as soon as it happened), then I would imagine that even if you do report it, the FAA is probably just going to be like "meh."
Flying through a cloud isn't so much of a big deal if it was forced on the pilot, so long that the necessary precautions were taken to remedy the problem (and so long as the plane doesn't crash!). Obviously, VFR requires either to be clear of cloud or to be so many feet above, below, and to the sides of it, but let's face it, weather can change in an instant, and even the most up-to-date forecasts can be wrong. Skirting through the bottom of a cloud isn't the end of the world, and I'm sure most VFR private pilots with a fair amount of hours on their belt have flown through at least a cloud or two. It isn't VFR, but there is always the odd chance it could happen.
If the student continued to fly through such conditions, it's probably best that he/she get a good "briefing" on what is expected. Obviously, the instructors should always keep an eye on the safety of their students, so it's more of an internal concern than an FAA concern I would imagine.
Unless the student was intentionally trying to break a rule (VFR, or published TPAs, or whatever), I doubt reporting such incidences would be a big deal. Then again, I'm not a US pilot, so I could be wrong
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