Why analog anti aliasing filter is used before analog to digital converter when there is already a digital filter after ADC?
Question 1:
The anti-aliasing filter before the ADC is exactly for the purpose of rejecting high frequencies, that will become lower frequencies (i.e. aliasing) after the ADC. The digital lowpass after the ADC cannot help here, as the aliasing has already happened. Consider this example:


Your ADC has a sampling frequency of Fs=100kHz. 
Your input signal is a sum of two sine waves, with frequencies 10kHz and 220kHz. 
After ADC you would find two sine waves: one at 10kHz, one at 20kHz (220kHz-2*Fs). 
Hence, you have aliasing occured, and no digital lowpass can remove this aliasing.


Question 2: 
Without more information on the system this cannot be answered. However, here are some thoughts:


filter of 5kHz requires a sampling frequency of at least 10kHz (ideally). You state you only need 2.5kHz. I think you mix something here. 
in reality, no anti-aliasing filter is a perfect low-pass, hence its cutoff-frequency does not mean, that higher frequencies are perfectly blocked. Instead, they are more and more attenuated. To cope with non-ideal anti-aliasing filters, the sampling frequency should be higher than 2 times the cutoff. However, 200kHz from your example occurs still quite high for me.