Yes, I would confront someone cutting the lock on a board. Or a bike. Or anything, really. No, I wouldn't just walk up and punch them.
I would say something along the lines of "Ok man, if the board is yours, that's cool, but you just cut a lock and you're not walking away with that board until we get someone over here to get your info." Then, flag down ski patrol or really anyone who works there to check the guy's ID, pass, whatever, and make sure that if it's actually a stolen board, they have all of his info. If he was like "F*** tha,t I'm leaving" I'd probably let him go and report it immediately.
For the record: If it was my board, or I knew for fact they were stealing the board, yes, I would hit them. Fighting while wearing snowboarding gloves is fun. Your knuckles are protected and cushioned, but the force behind your punches aren't.