I usually carry the cut's through the curb, but not much deeper than 1/2" or so. I plunge on each side of the curb (in the floor horizontally and vertically in the side of the exterior) to promote the crack to carry through the shallow cut. Also, we usually have a #3 rebar in the upper curb, so I avoid cutting through it.
As "machsnell" & "chris" noted, use a decent sealnt and backer rod on the exterior at a minimum, the remainder of the curb inside wouldn't hurt either.
PS, it looks like that pipe landed perfectly with a stud. What are you going to feed through it eventually?