So my entertainment components are right below the TV, maybe running like a 30" path from back of TV to the bottom of the wall, straight down.

Is it absolutely necessary to use CL-2 (in-wall) rated component cable, HDMI cable, etc? The only cables that would be in the wall are:

1 HDMI cable (DVD player)
1 Component cable (Cable box)
1 Stereo cable (output TV sound to receiver)
1 Component cable (Wii)

Are those going to be an issue or do I have to go out and buy all new wiring?

An electrician is coming to wire an outlet behind the TV on Saturday so no power cable through the wall.

Or is it the CL-2 rating for if other causes of fire affect how the wiring burns?

A flammable item such as wire/cables running through your walls have the potential to carry a fire throughout a structure very quickly. As you said, a 30" run isn't going to make much difference except to an inspector (who doesn't care if it's a foot or 500 feet).