Use object initializer - Resharper suggestion

I use ReSharper everyday, and today I asked myself why ReSharper suggests "Use object initializer" when I do this :

MyClass myClass = new MyClass();
myClass.MyInt = 0;
myClass.MyString = string.Empty;

It gets replaced by :

MyClass myClass = new MyClass
{
    MyInt = 0, 
    MyString = string.Empty
};

Does this optimize the execution of my code, or is it just a matter of reformatting?

Personally, I like it. But sometimes I hate it, because of this :

I can't do step-by-step debugging :(