While yes tactically, it is very reasonable to want to know where Drogon is, as he poses a potential threat all on his own, there may be other reasons this dialogue was included.
Azor Ahai was a legendary hero who wielded a burning sword called
Lightbringer, according to tales from Asshai and followers of R'hllor.
In some other cultures this warrior is called Hyrkoon the Hero, Yin
Tar, Neferion, and Eldric Shadowchaser.
Some believe that the Azor Ahai Prophecy was fulfilled by Jon Snow being in the Azor "reborn" role and Dany, Azor's wife, Nissa Nissa...
Jon Snow: Necessary?! Have you been down there?! Have you seen?!
Children, little children burned'!
The idea of this prophecy relies on a belief of reincarnation and reenactment in order to undo some cycle started, presumably during the Age of Heroes, and presumably in relation to The Children of the Forest, betrayed by the First Men in relation to The White Walkers (and specifically for the TV series & upcoming prequel 'Long Night' TV series), and/or the creation of The Night King.
Daenerys Targaryen: [in Dothraki] Blood of my blood! You kept all your
promises to me. You killed my enemies in their iron suits. You tore
down their stone houses. You gave me the Seven Kingdoms! [the Dothraki
cheer and Drogon roars. Daenerys turns to Grey Worm, addressing him in
High Valyrian] You have walked beside me since the Plaza of Pride. You
are the bravest of men, the most loyal of soldiers. I name you
commander of all my forces, the Queen's Master of War! [the Unsullied
stamp their spears in approval, while Grey Worm nods in gratitude]
Unsullied. All of you were torn from your mothers' arms and made into
slaves. Now...you are liberators! You have freed the people of King's
Landing from the grip of a tyrant! But the war is not over. We will
not lay down our spears until we have liberated all the people of the
world! From Winterfell to Dorne, from Lannisport to Qarth, from the
Summer Isles to the Jade Sea! Men, women and children have suffered
too long beneath the wheel. Will you break the wheel with me?!
The first Long Night allegedly stems from events happening in regions around the Jade Sea, including a blood betrayl with the Opal Emperor of the Dawn Empire. This is also the region of, Yi-Ti, Asshai and the Shadowlands, a place where the legend or real life version of Azor may derive, a place where all manner of magic is experimented with, no matter how depraved, and some even believe, the place from which the first dragons are ever to be seen. Asshai also happens to be where Melisandre is originally from.
This Blood Betrayal, as it is known in the annals of the Further East,
ushered in the Long Night, with the Maiden-Made-of-Light turning her
back on the world, while the Lion of Night came forth to punish the
wickedness of man. The darkness ended when a great warrior rose to
lead the virtuous into battle with the sword Lightbringer in his hand.
Light was restored, but the Great Empire was not reborn for the
restored world was a broken place where every tribe of men went its
own way, fearful of all the others, and war, lust, and murder had
So if we are to believe a cycle is broken, there may be good speculation in Dany's body being returned by Drogon to the lands from which this particular cycle started. (And why perhaps the writers had Dany name-drop the Jade Sea in her speech)
There is a possibility also that she could be resurrected for some yet to be disclosed purpose and following Drogon leads to those potential threats as well.