Is it normal or necessary to line gas fireplace cavities with drywall?
It depends on:


The specs for the unit. Some require an air gap and typically have metal protrusions to enforce that spec. Older ones may have called specifically for fire-resistant wall treatments. 
Local building codes. There may be requirements that disregard and enhance manufacturer requirements and recommendations.  
The risk tolerance of the builder or homeowner. If it helps you sleep at night to not have kiln-dried lumber directly exposed to a firebox, it's cheap comfort to drop in some drywall. To do it right it would need to be taped or otherwise sealed at the joints, though.