No they don't, and no it doesn't count.
I have a few laptops here, and I have changed HDDs and ODDs for them. Just pop them in, and check that they are recognized in BIOS.
If not, check for BIOS updates etc.
HDD(or ODD) firmware reside in the chip in the HDD. So how could you run/update firmware for it if BIOS doesn't recognize it?