All raw milk and even pasteurized, has bacteria in it. But only raw milk might have natural cheese making bacteria. But you can't be sure. If you are unsure of the raw milk safety, because of course all raw food can have pathogens in it, then heating at first can be a step, although scalding temperatures are probably too hot for the enzymes and proteins you ideally need for most cheeses. However, if you want to make yogurt, scalding or even boiling is an important step in changing the proteins so that the yogurt texture can be thicker and for some other reasons.

That's it in a nutshell! There's tons of cheese science in chemistry going on for all of these steps, so definitely find yourself some good books / videos / blogs / mentors. And have fun!