While running update-initramfs -u after adding a module to initramfs I got the following warnings:

W: Possible missing firmware /lib/firmware/i915/skl_dmc_ver1_27.bin for module i915
W: Possible missing firmware /lib/firmware/i915/kbl_dmc_ver1_04.bin for module i915
W: Possible missing firmware /lib/firmware/i915/kbl_guc_ver9_39.bin for module i915
W: Possible missing firmware /lib/firmware/i915/bxt_guc_ver9_29.bin for module i915
W: Possible missing firmware /lib/firmware/i915/skl_guc_ver9_33.bin for module i915

I wondered how to get rid of these and finally found a solution.

First, I cloned the linux firmware repository from kerrnel.org:

git clone https://git.kernel.org/pub/scm/linux/kernel/git/firmware/linux-firmware.git/

Then I copied over all the missing binaries from the i915 folder to /lib/firmware/i915. So, in my case:

sudo cp skl_dmc_ver1_27.bin kbl_dmc_ver1_04.bin kbl_guc_ver9_39.bin bxt_guc_ver9_29.bin skl_guc_ver9_33.bin /lib/firmware/i915

Finally, I had to run update-initramfs -u again. Et Volià. All warnings gone!