Supercapacitor in parallel with Lithium 3.6V Primary Cells
There is a major misconception in this statement &amp; question


  The question then is, does the current flowing from the battery into the caps need to be controlled when the caps are not initially charged? If so, adding a limiting resistor is not a first choice, I don't want to lose any energy unnecessarily during regular use.


A capacitor charged via a non reactive path from a fixed voltage will always dissipate energy in the resistance. This is true whether you charge very slowly via a large resistance (which may include the internal resistance of a low maximum current capability battery), or if you charge with no "apparent" resistance and vast currents.  

As a consequence of the above the answer is that not only must the current be controlled but if you wish to minimise energy taken to charge the capacitor you must use an active converter of some sort - in this case actually or effectively a buck converter. Whether the energy gain is worth the effort is up to you.