"What is initializing a variable"

this is when you assign an initial value in the variable definition; eg,

unsigned char test = 1; // Variable definition with initialiser

See any 'C' text book for details.

"why do I have to initialise a variable"

In general, you don't have to, but it's good practice to do so.

In this particular case, I guess SDCC must be assuming that, because you've put it into the code space, you must want it to be a constant and, therefore, you should've given it a value as you won't be able to set it to a value later!

However, that SDCC should insist upon an initialiser here seems unreasonable and unnecessarily restrictive!

"what could I ever do with a code variable, wich content is already defined by the content of my eprom"

A very common use for this sort of constant is fixed message text strings; eg,

code char message[] = "Hello, World!n";