When starting fs2020, I have to unplug and then re-connect Thrustmaster in order to activate it. Is this necessary?
Normally not. I have Thrustmaster too. Works fine. Can switch it on before or after MSFS has started.
Nope. It should not.
Does Windows calibration detect it without having to plug out and back in?
Try switching USB ports - this could be a case of ports going to sleep (power-saving?) and not properly re-detecting what’s attached.
If you bought the sim on Steam, there is a known Controller glitch where you need to confirm that Steam recognizes the controller (likely) and then in the MSFS item in your library, check to make sure it’s going to use the controller.