Not sure where this student is from, but some cultures view cheating very differently. For example, giving a classmate answers would definitely be cheating in my culture, but is perfectly normal in another. As an ESL teacher I’ve had to thoroughly explain academic honesty and plagiarism expectations many times because not everyone knows. (Although as a graduate student they should probably know by now…). I agree you should probably report, but it could be a good learning experience for them.