Entering/playing the DV lottery does not mean you have an immigrant intent, BUT winning and pursuing with the process does.
If your friend just entering her name into the DV electronic application and never win, her visa status and her ability to get visa in the future is unaffected. In the other hand, if your friend played the DV lottery and won, and then decided to pursue with the process of getting the green card (sending back the DS-230, DSP-122, interview, etc), her current visa status and her ability to get visa in the future will be affected because she has shown the intention of staying in the U.S permanently.
Proceeding with the DV lottery process after winning the lottery is a very easy way to be identified to have immigrant intent.
No one knows exactly what happen if a student with an F1 visa got their DV application rejected. All we know is that it has some risks associated with it.