What is the difference?
ClientList _userlist;   
Adds an object of class ClientList as an member of the class ChatMgr
_userlist is an object in itself so, the compiler will call it's constructor when object of ChatMgr is created. All initializations of _userlist should occur in it's own constructor or Initializer list of the constructor.
ClientList *_userlist; 
Adds an pointer to object of class ClientList as an member of the class ChatMgr
*_userlist should be point to something valid before using it because it is just a pointer and you need to point it to something meaninful to be able to use it. 
Preferably, You should use initialize in Initializer List of the Class ChatMgr.
For the first one, can I just access to the all the data members inside of the class without initializing it?
As explained in Q1, Yes you can access the contents of _userlist without initializing it because the initialization happens implicitly when compiler calls ClientList constructor.