Why feedback is needed in PLL FM Demodulator?
No, you've misunderstood how a PLL demodulator works. The NCO (or VCO in an analog system) must track the instantaneous frequency of the incoming signal, not just its average value. If it does this accurately, then then the control value is an accurate replica of the original modulating signal.

If the oscillator only tracks the average frequency, then you have a PM (phase modulation) demodulator, which is related, but different. With wideband FM (such as used for FM broadcast), the instantaneouis phase error will be much greater than 360&deg; at times, and the output of your phase detector will "wrap", createing a lot of distortion.