Following is a qoute from the HSMP guidance regarding the documents to be supplied for gaining points for UK experience.
In all cases you will also need to provide the original letter of permission from the Home Office conferring your leave to enter/remain in the UK as a student.
I am claiming 5 points for UK experience as I have finished my Masters from a UK university in Jul 2005. I got my initial student visa from Oct 2003 to Feb 2005. I then applied for an extension and got the student visa extension.
Both the instances, I don't recall getting any letter from the Home Office. On the other hand, I just got my passport back with the visa endorsed. Did anyone else get any such letter when they applied for a student visa?