Yes, you should have, but that's water under the bridge.
Yes, it is. Drywall primer at this stage is pretty well pointless. It's intended for application on bare drywall, to provide a substrate for the finish paint.
No, it's not too late for that. Just make sure you don't use a short-nap roller cover this time...
Not any more -- unless you used flat paint, it isn't going to adhere very well. And unless you're *really* good at applying drywall mud, it's going to look a lot worse than it does now.
I disagree. How long was the nap on the roller cover you used originally? Probably 1/4" or 3/16", right? Try another coat, using a roller cover with a
3/8" or 1/2" nap instead. That will leave enough texture in the painted surface that it will probably hide the variations.