1) Anna told Nicholas that he would have to make a report on Saturday. 2) The children told Tom that the teacher gave him a good grade.. 3) He found out (He learned) that the man had once been a brave general. 4) We heard on the radio that the cold would be even stronger the following day (next day). [In most contexts, the best translation of мороз is "cold," not "frost". In English, "frost" is almost always used to refer to the ice crystals that appear on the ground or other surfaces when the temperature is below the freezing point. "When woke up, there was frost on the windows of my house."]

1)Anna said Nicholas, that he has to make a report on saturday. 2)Children said Tom, that teacher put him a good mark. 3)He learned, that this man was once a brave general. 4)We learned on radio, that frost will be stronger next day.

это непрямая речь, поэтому я бы перевела так: 1) Anna told Nicholas that he would have to make a report on Saturday. 2) Children told Tom that the teacher had graded him 'good'. 3) He has knew that this man had been once a brave general. 4) We heard on the radio that the frost would be even stronger the following day.