A Drow's Drow Magic racial trait means that they know the Dancing Lights cantrip at level one, regardless of class. Dancing Lights requires a material component: a bit of phosphorus or wychwood, or a glowworm. Does a non-spellcasting Drow, who does not have use of a spellcasting focus, need to have a component pouch -- or at least some phosphorous, wychwood, or a glowworm -- on hand in order to cast Dancing Lights? I believe that they do, but it seems off. Am I missing something?
The Drow feature says:
Drow Magic. You know the dancing lights cantrip. ...(Other spells)... Charisma is your spellcasting ability for these spells.
Nothing in this ability indicates any modification to the required components. The same is true for the High Elf's Cantrip racial trait, the Forest Gnome's Natural Illusionist racial trait and the Tiefling's Infernal Legacy racial trait. No special exceptions are made for spellcasting granted by these player races.
Contrast this to some of the creatures in the Monster Manual who possess the Innate Spellcasting trait. As a completely arbitrary example, consider the Frost Giant, whose Innate Spellcasting trait includes the line
It can innately cast the following spells, requiring no material components.
The same line is present in the Green Hag, the Night Hag, all four Genies, the Dryad, the Drider, and many, many others. Some creatures like the Mind Flayer and Pixie have stronger exceptions to the components in their Innate Spellcasting traits. However, every single one of them explicitly calls out that it requires no material components (or whatever variant as appropriate).
If the racial spellcasting traits, such as Drow Magic, did not require material components, then the trait would have explicitly said so like the Innate Spellcasting traits do. Rules as written, your Drow does require the appropriate material component to cast the spell.
However, only exceptional circumstances would make this difficult. Your Drow would require only a single piece of phosphorous, wychwood or a glowworm. They could keep it in their pockets, or on a bracelet or necklace or some other piece of minor jewellery (in fact, that sounds like an interesting piece of flavour for races with spellcasting traits). Your Drow would be unable to cast dancing lights if deprived of this material component, but recovering one should be very easy between adventures if not during an adventure.
That said, the GM may rule that Drow Magic functions like Innate Spellcasting and does not require material components. As Miniman pointed out, this would bring the player race's magical abilities to be in line with the Drow which appear in the Monster Manual, which do have the Innate Spellcasting trait. But that technically deviates from RAW.
Yes, Drow PCs need material components.
No, Drow NPCs do not need material components.
Jeremy Crawford addresses this exact question on Sage Advice.
If a racial trait grants a spell, the trait tells you if you can ignore any of the spell's components.
So drow from the Players Handbook require M component for racial abilities (ie. Darkness), but Monster Manual drow do not?
That's correct—a result of monster versions of some things being simplified. A DM has much to manage!