After play around in the config files, I found there is a flag inside the web.config where contains the
<add key="owin:AutomaticAppStartup" value="false" />. I changed it to true value then the owin.initialize pipeline turns on.
I would like to share more details about this issue. Please remind that in the web.config already have a setting value:
<add key="owin:appStartup" value="Sitecore.Owin.Startup, Sitecore.Owin" />
This setting is a default value which turns on owin.initialize pipeline.
Setting the value true in the key
<add key="owin:AutomaticAppStartup" value="false" /> or remove the owin:AutomaticAppStartup out the web.config file also turn on the owin.initialize pipeline.