Do EU students in Wales, Scotland, and Northern Ireland need to have pre-settled or settled status?

Yes. Although fees for University may be different in Scotland, EU students need to have settled status or pre-settled status.

If you arrived in the UK before 31 December 2020, you should have applied for the EU Settlement Scheme. Your pre-settled or settled status will be used as evidence of your rights in the UK. If you have not applied but believe you are eligible to apply, please see the guidance on late applications. 

 If you first entered the UK after this date, you will have to apply for a visa under the new Immigration System.

See  also this UK Government policy paper on student finance eligibility for the 2021-2022 academic year.