Are there ethics concerns when students conduct human subjects research?
You can find a list of IRB Exemptions online. If the research falls under one of the exceptions then IRB consent won't be needed. 

But otherwise, who does the research would be immaterial. 

However, I think that special care should be taken here since undergraduate students might not be deeply aware of the ethical principles behind assuring the safety and privacy of human subjects. A naive approach could result in great harm. 

So, at a minimum, even if the research falls into one of the exceptions, I would advice that a knowledgeable faculty member oversee any such research, both to educate the student researcher and to assure safety and privacy of subjects. 

The other concerns you express are also valid, of course. 

But, for the topline question, yes, there are always ethical concerns when humans are the subject of research. The concerns always need to be addressed, even in simple cases where it is clear no harm will result. How formally they need to be addressed is a function of the potential for harm as long as the formal rules are followed.