I would expect that their cache ingests from a fairly large number or relays so hopefully in most cases there would be an overlap between the set of relays that the note is written to. It could be a problem if you are trying to use some special purpose relays. I don’t know how they handle things like the Fediverse bridge relays for example.

Any notes that are visible ONLY on relays Primal doesn't cache from would not be visible on Primal, regardless of what relays you select. In Primal, you only WRITE to the relays you select, and you only READ from their caching relay. That said, the likelihood of any notes only being on a relay that Primal isn't caching from is relatively small. Most people are posting their notes to multiple relays with at least one that Primal is pulling notes in from.