Is it normal for initialization to occur when new?

Having just setup an 8GB DX4000 for our office, I can say this did NOT happen on our unit.

Initializing/verifying a RAID array is only needed when there is believed to be a chance of inconsistency between drives/parity. Since the array was started fresh during unit setup, there is no data to verify originally, and thus no need for a consistency check.

I would contact WD support and submit a ticket with whatever information they request, as this sounds like a bug in the setup process.