Lazy initialization is only required for resource intensive objects. A list is not. Maybe the elements it contains. A list autoscales. It starts with room reserved for little references. If it needs more room it reserves more space.
It is also worth mentioning that your example is not thread safe. It's better to refer to the Lazy<T> Class:
https://msdn.microsoft.com/en-us/library/dd642331.aspx
RE: Lazy Initialization in C#