Your understanding is correct
To reiterate what happened:
- Sorceress readies cloud of daggers to cast on the first enemy that appears.
- Worm appears.
- Sorceress casts cloud of daggers on top of the worm.
- Worm attacks Sorceress.
- Sorceress loses consciousness and spell vanishes.
The only two times a creature takes damage from cloud of daggers is:
A creature takes 4d4 slashing damage when it enters the spell's area for the first time on a turn or starts its turn there. (PHB 222)
And you are correct in saying that neither happened in this case.
But, in a Sage Advice article, it is officially clarified:
Our design intent for such spells is this: a creature enters the area of effect when the creature passes into it. Creating the area of effect on the creature or moving it onto the creature doesn't count. If the creature is still in the area at the start of its turn, it is subjected to the area’s effect. [...]
In summary, a spell like moonbeam affects a creature when the creature passes into the spell’s area of effect and when the creature starts its turn there. You’re essentially creating a hazard on the battlefield.
The worm could have taken damage if the Sorceress had cast it differently
If the Sorceress had cast cloud of dagger ahead of the worm instead of on top of it, then it would have taken damage for entering the spell's area. Of course (as @NautArch pointed out), if they cast it this way, the worm could either move around it or choose to not go through it at all. But even if it chooses this, the AOE has served some battlefield control purpose and likely kept the Sorceress conscious. So still a possible win.
How to make it make sense
This was probably just a case of the player not thinking the exact wording of the spell through enough and expecting it to work a different way. In cases like these, I as DM would have simply allowed the player to place the cloud 5 feet further from the monster such that is enters the area and takes damage. So that would have been one way to fix this issue.
Another would be to narratively describe it in a way that makes sense. For example, "The worm charged through the cloud of daggers just as the daggers were still forming, taking no damage and knocking Sorceress out before the daggers could pierce its thick hide."