Can you please explain why you feel this statement suggest the student hasn't grasped the substance of the lesson?
It depends on whether or not you think the student approved of the lesson. If he is endorsing the exercise, then his statement is along the lines of "We weren't actually being terrorists, we were learning about it, it's a good idea and negative reactions are overblown" and he has clearly grasped the substance of the lesson. If he was disapproving, his comment was more along the lines of "We shouldn't be pretending to be terrorists in order to learn about terrorists" and he missed the point of the exercise. So, it depends on the context of the quote given by the student.