I know that the leather part (if any) of ski gloves should be treated with some grease such as Hestra Balm or Sno Seal. But should the cloth (non-leather) part of the glove (again, if any), like most modern gloves have, be treated with something to prevent moisture/cold penetration?
Most ski gloves will have a waterproof/breathable layer (Gore-Tex or something similar, they should be labelled to say what it is). In my experience new gloves also seem to have a water repellant on the fabric to help water drops fall off before they get to the Gore-Tex. This surface water repellant will wear away and could be refreshed with various spray-on products (products I've used).
Ideally you should be able to put your gloves (or any hard shell clothing) under a running faucet and have all the water run off. Gore-Tex is great stuff, but still better when it's dry on the outside.