It can still read and write to memory. If it needs to "initialize" anything, it will have to commandeer the CPU by creatively rewriting memory that is in use.
This would be possible with regular PCI which is bus-based, but PCIe is a star topology with ports on the upstream switch needing to be configured into an active state for the newly plugged in device to communicate with the rest of the system. I haven't looked at the specifications but I imagine it's the same for Thunderbolt - the controller itself has to be enabled first.