A Ranger that starts with the Urban Tracker option for Natural Explorer should start with a set of Thieves' Tools!
This isn't the only weird thing; most extra proficiencies added by class choices seem to be ignored in terms of starting gear and equipment. For example, Ranger Knights start in leather armor, just like every other ranger, despite having the ability to wear heavy armor (anyone know the starting gear for Life Domain clerics?). So yea, I guess Larian ought to modify starting equipment according to these choices, at least to some extent.