I certainly understand your frustration with this one; historically, I've had TONS of students get this one wrong.
As you indicated, the support for choice (A) comes not from the author, but from "some anthropologists".
The more you get used to LSAT reading comp, the more you'll expect that the author disagrees with "some anthropologists", without having even read the passage.
What I mean by that is that in RC, as in LR, authors only bring up other points of view to shoot them down (or at least 98% of the time that's the purpose).
So when you read a phrase like "it is often said", "it is commonly assumed", "some critics say", "Many would argue", etc. ... you're almost guaranteed to see a but/yet/however waiting around the bend, because the author is bound to disagree.
In this passage, lines 8-22 sum up the interpretation of cave paintings reached by some anthropologists.
Beginning in line 23, cued by the phrase "Curiously,
however", the author shoots down that theory. He implies in the last sentence of the paragraph that there must have been some purpose to the cave paintings other than aesthetic enjoyment.
Then, he proceeds to discuss an alternative theory, that the cave paintings related to superstitions about gaining magical power over prey. (lines 37-42)
There aren't any helpful telltale words in the 3rd paragraph to announce that the author prefers this explanation. Instead, we're expected to understand that the author prefers this explanation based on the logic of the passage: "Some people say X. But I think consideration Y makes X an unlikely story. What's the real answer? Some people say Z."
So this definitely becomes a question that we're more likely to get correct by eliminating the wrong answers.
A) contradicted by the gist of paragraph 2. The author doesn't accept the anthropologists' reasoning in paragraph 1 (that would support this answer).
B) "essential" is too extreme.
C) "did not create ANY" is too extreme.
D) "ALL art" is too extreme.
E) he's "most likely" to agree with this one, because there's at least some support in the 3rd paragraph.
Hope this helps.