From what I've seen and used, I'd say it always has to be there (although I've never tried not using it on an insert). On occasion I see code from people using .initialize() on a simple query, too, and not just inserts and things appear to work okay.

I swear a couple months ago the wiki said initialize() was used to get the record ready for creation but now I can't find that area in the Query article. I want to say it's necessary but sadly can't find anything that explains what it's actually doing.