This might sound silly but I googled quite a bit on this and found a lot of different approaches.
Basically, I just added a new drive to my system and ran mkfs.ext4 on it (using it for installing games).
Since then I have been using the drive just fine (on Linux). Though whenever I boot into Windows (I don't use that drive there obviously), it would then bother me and tell me that I should choose GPT or MBR to initialize that drive.
I'm now a bit confused and wonder if I did something wrong? I thought GPT or MBR would be necessary only if I actually would have partitions on that drive. Will this cause me issues on Linux on the long run? Should I just ignore the Windows message about that or should I create a single partition on that drive using GPT/MBR instead?