"Where does he live?"
Translation:Где он живёт?
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This sentence sounds much more natural with a pronoun. Technically you could omit anything in a context (i.e., «Он живёт ря́дом.» — «Где?» 'He lives nearby.' 'Where?' has both a pronoun and a verb omited, because it's established in a previous sentence; just like in English), but you usually don’t.
Continuing on your example, you could perfectly say in Spanish, "¿Dónde vive?" or in Italian, "Dove abita?" but in English you could not say, "Where lives?" or "Where does live?". The pronoun is obligatory. In the Romance languages, in fact, you really would NOT put the pronoun unless you wanted to emphasize it ("Dove abita lui" would be like emphasizing "Where does HE live?" and is rare enough to sound strange.) And in Russian? I take it from your answer that Где живёт? is not an option.
Yes, you’re right. It’s generally not an option. It will be undestood (because in present tense the verb endings give enough information), but it’s not how we usually speak.
The difference between Russian and Spanish is due to the fact that in Spanish, you can always infer a pronoun. In Russian, you can infer it in Present and Future tense, but not in Past tense.
In Western and Southern Slavic languages, Past tense is usually formed by copula + participle-like form in -l / -la /-lo. However, Russian has dropped a copula in most cases, so this participle was re-interpreted as a personal verb form. If Spanish dropped "he" in "he hecho" (it's not a copula, but this works as an analogy), it would probably force the speakers to use pronouns too.