There are definitely Gram Stains and other stains of specimens from affected sites, but, for us, at least, we didn't have the light micrographs on the exam. We didn't have a separate lab though. We discussed these types of diagnostics in class.
That being said, we still had descriptions of the different microscopy based diagnostics in clinical case based questions on our exams. i.e. "Gram stain from sputum specimen showed gram + cocci. What is the most likely cause?"