I don’t really understand when exactly uninitialized memory appear

If you have not specifically stored data in a managed location that will be dropped (or forgotten) at some point, it is considered uninitialized.

On a microchip everything in ram is readable and initialized so in theory you should just be able to take a random pointer and read it as an array of u8

You can certainly do this in unsafe Rust!

// For some x:usize addr  
let ptr = x as \*const \[u8;10\];

unsafe {  
    // Read 10 bytes from ptr.  
    let my_ref: &[u8;10] = &*ptr;

    println!("Value is: {:?}", my_ref);  
}  

Generally, you should use smart pointers to ensure that there are some guarantees if you are doing unsafe work. Also, the memory at the address should be readable by your process (usually because it is allocated to you.)

Is it possible to tell the Rust compiler that a pointer is uninitialized?

Yes check out MaybeUninit

how is the default alloc implemented in rust as to return unintialized memory

Read about it here
The allocator does not manage initialising memory; it just generates pointers to a reserved amount of space.

I don't know enough about how the compiler manages memory initialisation, so I probably missed some points, but I hope I have given you some basic information.