In Windows-terms "disk initialization" just translates to the process of writing a MBR/GPT label with an empty partition table on an otherwise completely empty block storage device. So yes, you have to do that regardless of whether it's backed by a virtual disk or a physical storage device on a physical server if you want to create and format partitions on the disk.
You can initialize it just in disk management MMC as well and you need to do that for every separate disk.
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