If the lesson starts late because the student is late, that's their fault and they lose the time. If it starts late because of my fault, the studio's, etc., I run over and the rest of my lessons are off schedule until I can get them back on track. But our lessons are 45 minutes, so I often have a 15-minute buffer depending on how I scheduled my day.
So, yes, I suggest saying something, especially if it's a regular occurrence.