It turns out it was being initialized but the Picker was failing at run time because the tag was not an optional. This code works:

import SwiftUI

struct PenaltySettingsView: View {
    @EnvironmentObject var regattaList : RegattaList
    @Environment(\.dismiss) var dismiss

    let regatta: Regatta
    let priorLetterScoreRules: [RaceLetterScore : Double]
    let penaltyScores: [Double] = [0,1,2,3,4,5,6,7,8,9]

    @State private var newLetterScoreRules: [RaceLetterScore : Double]

    init(regatta : Regatta) {
        self.regatta = regatta
        priorLetterScoreRules = regatta.letterScoreRules
        _newLetterScoreRules = State(initialValue: regatta.letterScoreRules  )
    }

    var body: some View {
        Form {
            HStack{
                Text("Penalty Settings").font(.title)
                Spacer()
                Button("Save") {
                    regatta.letterScoreRules = newLetterScoreRules
                    regatta.updateAllScores(oldLSR: priorLetterScoreRules)
                    regattaList.save()
                    dismiss()
                }
            }
            ForEach(RaceLetterScore.allCases.filter( { !manualLetterScores.contains($0)}), id: \.id ) { ls in
                Picker("\(ls.rawValue) ", selection: $newLetterScoreRules[ls]) {
                    ForEach(penaltyScores, id: \.self) { ps in
                        Text("\(ps, specifier: "%.0f")").tag(ps as Double?)
                    }
                } 
            }
        }
    }

}