While I believe she should have called you IMMEDIATELY following what happened, she absolutely did the right thing. Yes you should file a report with the police. This way God forbid something does happen to your child or someone else's its's on file.
OT: Once at my former center I had a father (parents were divorced) call me out of the blue saying that his sister would be picking up the boy. I said okay. Yet something told me something wasn't right. I hadn't talked to the father in MONTHS. So I immediately called the mother, just to tell her that Aunt Jane will be picking up A.
Good thing I called. Mom was extremely uncomfortable. She said it was alright if the father picked up the boy but she wasn't on good terms blah blah blah with the aunt at all and that she was 5 mins away and would be picking up the boy.
The father was FURIOUS with me. He came barging into the center demanding to speak with me in private. I refused. I didn't care if he made a scene (the children were outside but parents were coming in and out) but I wanted it done in public.
He demanded to know why I involved the mother etc. I explained to him that his sister was not on the list plus I hadn't seen nor heard from him in who knows how long. He wanted to see the list. Then he was REALLY furious because HE wasn't on the list.
He was yelling at me saying he was that child's father and blah blah. I said to him ANY man can come into that door stating that they are a child's father...doesn't mean I am going to release the child. He eventually calmed down after we discussed things.
I talked to the mother the following day and I told her point blank that I will NEVER deal with him again. She and only those SHE authorizes may come into the center or I will call the police.
Long story short: I never saw the father again and the boy went to kindergarten. Then I got a talking to from the director ( I was the Assistant) that I overreacted. I don't think I did. My job was to protect those children. If I had a "mother's intuition" then by jolly I am going to go with it!