Does it matter where I initialize Directx11's shader constant buffer?

There is no need to initialize a constant buffer with default values, simply ensure you have created it initially by calling CreateBuffer() on the d3d device. You then have to call Map() before you can copy any data into that buffer, and then Unmap() to return control of it to the GPU. It is good practice to initialize object members to default values on construction, but with a buffer it would simply depend on the context.