Jeff Sadler
I do not believe it was a direct ancestor. I believe it was a branch off the family tree. But no it probably didn't. Though indeed no one can know for sure.

Cal King
I don't think anybody knows with any degree of certainty. Fur is rarely preserved in mammalian fossils as old as Gomphotherium. It is a relatively large animal, so it may not need fur to stay warm. OTOH, it lived during a relatively cool period, during the mid- to late Miocene and early Pliocene. The fact that it became extinct during the Pliocene, when the ice ages began, would suggest that it may not have been as well insulated against the cold as were the mammoths and mastodons. Some of the reconstructions I have seen on the web shows no fur. Therefore it would probably be safest to reconstruct it without fur.