If a small business as a sole proprietorship was formed in 2018 but was not active, meaning didn't earn any money, should a tax return be filed for it?

Yes, if you have expenses to deduct then you should report your business this year. You can offset your expenses against your other income. However, you must meet the IRS guideline for proving your income is not hobby related. The general rule is that if you have not turned a profit in at least three of the prior five years, the IRS will categorize your business as a hobby. 

TurboTax will allow you to enter expenses without entering income. You will just continue past or skip the income section.