Why is an auditory alarm necessary when the autopilot disengages?
Yes, there have been several accidents caused when the autopilot has been inadvertently or automatically disconnected and the flight crew have failed to realise it happened. Even with the audible alert, it's reasonably common, but experiments in controlled conditions demonstrate that alerts provided in only one medium (just visual, or just auditory) are not reliably noticed in times of high workload.

Here's an interesting accident report I remember reading at the time, where the flight crew apparently failed to notice that they had deliberately disconnected the autopilot. For more on inattentional deafness, see the paper Failure to Detect Critical Auditory Alerts in the Cockpit: Evidence for Inattentional Deafness.