thermal pastes usually come with the cpu cooler. this includes the stock cpu cooler from intel and amd and also the aftermarket coolers like the 212 evo.
for your second question, no. the hyper 212 evo is what's called an aftermarket cpu cooler, meaning you have to buy it separately like you bought all the other components.
for your final question, yes. it's fine if you choose to use the stock cooler now and upgrade later when you start overclocking.