In a word, No.
That's the answer to if it is normal and the answer you tell him as to whether or not he is allowed to do it. Borrowing other people's undergarments is an invasion of privacy. Therapy would be a good idea to explore the impulse.
I feel the best thing to do is talk to your son see how he's feeling if he feels he's question his sexulaly or gender it's important for him to have support and love. This way he can talk and possibly explore his feelings without judgment. This will help him to understand that he's not alone and it's not a bad thing. In turn it will help mentally as well as you understanding what he's going through. It my be he just simply likes the feel of them and probably will just be a phase. If it's more it might be an idea to speak to GP and ask for a referral to CHAMS who can offer both you and your son support and advice. The most important thing is that he's supported and know that your on his side I can imagine how hard it will be for him to come to terms with at such a young age but help is out there for you both. Good luck with it and hope that this has helped you and your family.
Does your daughter let him have the panties? I guess he likes wearing girl's underwear. Some people are like that. I wouldn't worry about it.
I think that your question "Does he need help" might be overly alarming compared to the situation. Some kids don't like the feeling of some clothes and prefer the feeling of other clothes. If his sister's underwear are lighter weight or silkier, he might just be reacting to that fact alone. There are men's underwear made of kind of silky fabric (it's not silk, but nylon); my husband has a few pair, and he likes them because they dry faster in the dryer. If what is worrying you is that your boy is wearing gender-inappropriate underwear, you could try buying some of the silky-feeling men's kind and giving them to him and see if he wears them exclusively. (That is, if you don't just ask him straight up. It would be a way to test the situation.)
But even if what it is that he likes about his sister's underwear is specifically that they are female underwear, even then, I don't know if "Does he need help" is really the question. Some people are into this kind of thing, and it is generally considered harmless. You could read up on the topic, I guess it might be under "cross-dressing" or there is probably some other way to find it in the literature. Or you could talk to a therapist. The question is not "What is wrong with my kid?" but more for you, yourself, so you can understand what's possibly going on for him and learn to accept it. If it's inherent in his nature, you would do him no good to treat it as "wrong" in any way. You're better off treating it as a quirk, and learning to live with it in an accepting way. Better for your relationship with him, anyway. :)
He could be trans and uncomfortable in the underwear he uses, or he could just like feminine clothing. He could also just like wearing panties, which is fine as long as they aren’t someone else’s. You should speak to him about it. I hope this helps a bit.