I would definitely report this to the teacher of the class, and let them follow up with parents. Of course kids are curious and that is perfectly natural but (a) he is using intimidating and offensive language towards this girl, and (b) the part about kids having sex without their parents knowing is disturbing and worth investigating. Teachers are mandated reporters, meaning they have a legal responsibility to report anything that may lead to suspicion of child abuse. I would definitely let them know what was going on and let them take responsibility in choosing the right action.
And, wow, someone has given that girl some wonderful assertiveness tools!