I bought a 6-pack of these LED downlights. The metal junction box has knockout holes to run my 14-2 (with ground) wire. I was surprised that the J-box didn't come with grommets after knocking out the hole. Are they required in this application and where does one buy them? Should the grommets fit the romex cable tightly as it enters the box.
You don't use a grommet in this application but rather an appropriate clamp. The correct type depends on what you are connecting here but the usual thing for non-metallic cable is something like this:
I have the same lights myself. You either need a NM clamp or some sort of plastic grommet to secure the wire. NM clamps are easier to find in most cases.
You need 1/2" clamps, but they may be labeled 3/8". Remember to only remove the knockouts you need, or you'll need to plug one at the end of your run. Be sure to screw the box down before attaching the clamps, as the clamps will make it impossible to do it after.
Incidentally, I bought a nicer one from a big box last year and it had no clamps either. They don't know if you need 1 or 2, so it's easier not to include them.
Use a NM clamp
The correct thing to use is not a grommet, but a NM clamp, as the latter grabs the cable's jacket and strain-relieves it to the box. They are available in a few different types (some are metal, others are plastic), and install into a standard 1/2" knockout, either using a locknut (for metal and some plastic types), or simply by snapping into the KO (for some of the inexpensive plastic types available).
As all of the other answers indicate, you must use a proper NM clamp. To the best of my knowledge national and local electrical codes always require a clamp for any cable entering any kind of device box. One of the reasons for a box in the first place is to facilitate replacement and repair. If the cable were not clamped while you were then fiddling with the connections inside the box, it might be damaged on the raw edges of the box, or you could inadvertently pull it loose from something beyond the box.