My DM thinks downtime is a myth that is rarer than fiendish unicorns.

We often find ourselves  with scrolls of spells that cannot be cast because we do not have the material component.

The party has had to do things like use Fabricate to turn gold coins and gems into the bowl for Heroe's Feast. 

But I have not found enough jade to create the crown needed for Shapechange, and a scroll of that just turned up.

Any advice on how to convert gold into jade via some spell?

Are you saying the DM runs the game so that downtime just doesn't happen (like the characters are in an austere environment or megadungeon with no marketplaces or maybe "on the run") so it's impossible "in game" to procure exotic components?  Or just doesn't grant downtime even though in game, a reasonable person would recognize plenty of opportunities for the party to play through downtime activities?

Why do you need to buy material components if the spells are on scrolls?

Same. From the description of spell scrolls: "A spell scroll bears the words of a single spell, written in a mystical cipher. If the spell is on your class’s spell list, you can read the scroll and cast its spell without providing any material components. Otherwise, the scroll is unintelligible."

Quote from MidnightPlat >>

Are you saying the DM runs the game so that downtime just doesn't happen (like the characters are in an austere environment or megadungeon with no marketplaces or maybe "on the run") so it's impossible "in game" to procure exotic components?  Or just doesn't grant downtime even though in game, a reasonable person would recognize plenty of opportunities for the party to play through downtime activities?

 Both.  Most of the early game was on another plane where the number of mages could be counted on one hand, so no spell components or even ink to write a spell into my spell back was available for sale.  I had to argue that I got two spells for free when I leveled up

When we got back to civilization he said specifically I had exactly enough time to level up and not one day more to write a scroll into my spell book.

As for needing spell components, I now have the time to write it into my spell book, which I did because after the first event I always kept 50 bottles of ink in my bag of holding. 

So now I have learned the spell Shapechange, but do not have the material component.

You don’t need M components to cast spells from scrolls. The scriber needs to provide those. You would only need the components to cast them if you transcribed the spell into a spellbook. It seems to me that your DM needs to reread the rules.

As far as collecting the components for spells you learn when you level up, I would argue that collecting those components is part of the level-up.

It sounds to me like you and the DM need to have a chat to align your expectations.

Wizards can experience a lot of variation between campaigns - some might get lots of scrolls, spellbooks, components, etc, and build up a large repertoire of spells in your spellbook while others might have to get by with only the spells they get upon leveling up. It sounds like your DM's expectation leans more towards the latter. I have "wizarded" in that sort of campaign and it was still fine for me personally, but I agonize over choosing spells each day so a longer list just makes that worse.

It could be that the DM just doesn't realize that wizards require some extra time and loot to make the most of their spellbook feature. IIRC this is not made very clear in the general DM information about party loot. I try to sprinkle in spellbooks and special components into treasure where appropriate, but it usually only occurs to me when I consider the party and whether or not I have been giving out treasure that is useful to everyone.

If you have this conversation and it becomes clear that you cannot reconcile your ideas of how wizards should work in the campaign, it might be best to ask if you can change characters.