Learn Finnish: Missä he ovat nyt?

In standard Finnish, he is used specifically when "they" refers to people. If you are asking about animals or things, you would use ne. Keep in mind that in casual spoken Finnish, people often use ne for both!

Why is the word order Missä he ovat ("Where they are") instead of "Where are they"?

Finnish doesn't swap the subject and the verb to make a question like English does. After a question word like missä, you just use the normal statement word order: subject (he) followed by the verb (ovat).

Why is the verb ovat instead of on?

ovat is the plural "they" form of the verb olla (to be). Because the subject is the plural he, the verb must match it.

We learned before that we can drop pronouns like minä (I) and sinä (you). Can I drop he and just say Missä ovat nyt?

No, you generally cannot drop the third-person pronouns hän (he/she) or he (they) in standard Finnish. You must include them, while first- and second-person pronouns (minä, sinä, me, te) can be safely dropped.