(1) No it does not have to have a primitive. Take $\frac{1}{x}$ on $\mathbb{R}\setminus \\{0\\}$, it does not have a primitive function.
(2) In fundamental theorem of calculus you assume that function has a primitive function. But in Cauchy's integral theorem you have no idea about existance of primitive function.
In CIT you really need simply connected region. There is strong geometrical connection between existence of primitive function and the region. (<