1- Do GPUs/CPU/etc BOOT using max TDP?
From what I've observed using a Kill-A-Watt, which admittedly is not sufficient for this test, no. If you pretend TDP is expected power draw, my computer should peak at about 300W (220 for the card, 65W for the CPU, and some extra for the rest of the system), but I only see it get up to like 150W or so before settling down. The CPU however will typically initialize to its base clock speeds however. The video card may be in a lower power mode too since it's not doing anything hard.
But again, the Kill-A-Watt is not sufficient as it's only polling once a second or so. It could've spiked up to 300W, it just didn't see it or it averaged out.
2- Do they only reach max TDP on full load?
Yes. Though keep in mind "load" just means something is running on it, whether you intended something to run on it or not.
3- Are they always max TDP unless OC underclocked?
If you're asking if they'll always go up to max TDP if the conditions permit, then yes. If you're asking if they'll stay at max TDP, then no, it depends on what's going on in the system.
4-Most importantly is how would they behave during boot, say you got them underclocked via msi afterburner, would they boot up using full max TDP and then apply MSI Afterburner or how would that work exactly?
Without an OS, hardware will run at a default configuration. For the CPU, this usually means they'll run at base clock speeds. For the GPU, it likely boots into a lower power mode because it's not reasonable to expect needing its power until you've actually loaded into an OS.