Very likely. if it was just the neutron star and the planet no, capture is impossible in a 2 body system (assuming no interference from collisions or dust), but with the black hole easily possible.
Excellent point. I suppose another, though certainly less likely possibility, would be that as a rogue it could have collided with another object, with the resulting combined velocity being the orbit we see now.
Of course, I have no idea what level of detail StellarForge contains in this regard. According to FDev, it plays through a sequential series of time iterations to construct the star systems, and they did specifically mention that it takes into account rogue planets.