A few friends and I are planning on traveling to Montreal for a weekend. However, one of them is not a US citizen, and is here with a multiple-entry student visa in his Chinese passport, which does not allow entry to Canada. I know that there are many places in Vermont where one can simply walk across the border undetected without going through a checkpoint. Suppose he did that, would he face any problems when (legally) returning to the US at the US checkpoint? I know Canada does not have any exit controls, but would the Americans care that he was illegally in Canada if he already has a valid visa to the US?
When you enter Canada legally you would get an entry stamp in your passport and you are planning to skip that part and I can assure you that the USA immigration department will not let you in when you try to re enter knowing that you entered Canada illegally and would be reason enough for them to believe that your intentions are not good.
When you say Canada does not have any exit control you are mistaken. They may choose to check everything that goes past on any route on any day and not having an entry stamp and failing to explain how you entered Canada will result in immediate arrest.
What you are planning to do is "stupid". You are better of spending your holiday within the USA. It is a huge country and you can find snow at a lot of destinations within USA.
The US border agent won't care, because he can't be 100% sure whether your friend was in Canada illegally (there may be a second passport issued to him by another country or even by the same country), or some kind of visa that is not in any passport, or or or...). What matters to him is that your friend may enter the states legally.
So, unless RCMP picks your friend up, you are safe. And they could pick him up because one of you sped or overlooked a stop sign; not to mention drinking (which would certainly be involved when you spend a weekend in Canada, right?).
And if he is picked up, and found to be in Canada illegally, he will be deported to China - not the US - at his own expense, because he has a Chinese passport. During that process, the U.S. visa may be revoked, or maybe it isn't. Maybe he is made to know that it is, or he isn't. Taking a flight from there to the U.S. will be a certain inconvenience, and a risk: He can't say for sure before he is through U.S. customs, so there is the possibility to have to pay a third ticket (back to China) because the U.S. won't let him in.
The chances may be as low as 1 in 1000 or 1 in a million, but if Murphy hates your friend, chances don't matter. So I would definitely apply for a tourist visa. His parents would be ashamed to hear that their son can't complete his expensive studies because he went on a weekend trip illegally.