I would say that the proof of financial or the sponsorship letter is subjective in the DV interview. Some people got asked for it and some people don't. It differs from one Consulate to another. I guess they will determine if you needed or not based on your background, education, current job, etc.
It is not listed on the first NL nor the 2nd NL in some countries. When they send out the 2nd NL, sometimes they attach a document requirements sheet besides the letter of appointment. I have seen copies of 2nd NL in the past that mention the financial proof as a required documents and I have seen others NLs that don't. At least on both of my NLs for the interview in Frankfurt, they didn't mention anything about the financial proof. But I will still bring the document anyway just in case they asked.
More than often the Consular will ask for the financial letter/sponsorship letter. It does mentioned in the DV instruction website that you need to proof that you will not become a public charge when you come to the U.S. So, if I were you, I would bring it just in case they asked. If they asked for it and you don't have the letter, it will only delay your application. Most likely they will ask you to come back at a later time and bring it to them. If you failed to provide it, they will deny for visa for sure.