You have to do that , Reboot to Recovery after format data is mandatory ..I did not do that, and it has not adversely affected anything. (yet?!)
You're just lucky because you firstly flash the rom as you said without formating data and rom won't boot , after that step there is no need to reflash again , rom is already installed and stuck at bootanimation because you didn't format data , so at this point just a boot to twrp , then format data and reboot to system without flashing anything is just fine , rom will boot now because you already installed it , it doesn't boot because you format data and reflash the rom , it boots because of formating data..
So it's mandatory to reboot to recovery when you format data , twrp said that after format , not me ..
And some other thing , if someone flash the global fastboot rom is with Android 10 and can be flashed the 0623 or 1206 twrp because it boots properly , issues starts since miui 12.2.. update and doesn't affect twrp yet ..