ERROR: 1049 Unknown database 'mysql'

I got different kind of error trying to install db.
First I tried this command:
mysql_install_db.exe --datadir=C:\...\mysql_data_dir -o
Where I got ERROR: 1049 Unknown database 'mysql'
And then
2018-10-19 15:33:40 0 [ERROR] Aborting

So following that jira to have more information:
mysqld --datadir=C:\...\mysql_data_dir --skip-grant-tables --console

So it seems I missed mysql database but it is not supposed to add it by itself?