[duckdb/#12350] - cli: Stuck at the intialization needs documentation

See https://github.com/duckdb/duckdb/issues/12350

Start by reading the linked DuckDB issue #12350, then inspect the duckdb-web documentation structure to find where CLI initialization is covered. Update the relevant documentation once the expected behavior is clear; done means the initialization problem and its resolution are explained for CLI users.

Written by the indexing model from the issue text.