What's the point of doing this?
If you are asking why we are using proof-of-burn to initialize balances, it is because Counterparty is a layer on top of Bitcoin, and so XCP are not mined; proof-of-burn initializes balances in a fair, distributed and transparent way.
What does it mean when we say Initialize Balances? It may not be clear from the initial introduction above and it does sound like a new concept.