I agree with the others, you think someone associated with the program would have a clue as to what is required to validate the start of the student visa.
She would have the same issue as any student not having a direct flight to Malaga, or at least Spain. Her passport will be stamped/scanned at the first stop in the schengen area, in her case, sounds like Milan, so very possible that any entry to the Schengen area is acceptable for the student visa. For regular visas, and for those countries requiring a visa just to visit, entering through another Schengen country is not an issue. I have heard it be an issue in the UK, if someone enters Ireland, then has no immigration going into the UK due to the Common Travel Area, but not the issue here. An Edit: To be a bit more clear, if Milan is her first stop in the Schengen zone, then when she goes through Immigration, the question naturally is "how long are you here for?" that may be when she pulls out the Student Visa and they validate it. That may be fine as long as she does not go over some predetermined number of days that the visa allows.
You are correct, flying Milan to Malaga there will be no immigration for her. There is passport control activity at Malaga, since they get quite a few flights from the UK and Ireland, so an office someplace.
Like you said, I would contact the office at the university in Granada, they must get this question often due to the lack of direct flights.