First off: no, you didn’t miss anything. This book really does start a few days after Anna’s and Charles' are mated, skipping to the end of what essentially makes up the Alpha and Omega short story. It’s a bit of a rough start, especially since so much of Anna’s character comes from those events that we never actually see, but I think it works.
That leads into the next interesting part / potential problem with these books. Anna was tortured and raped by her first pack. Even though you never actually directly read the scenes in question, they’re an unrelenting part of Anna’s characters through not only this book but the entire series. On top of that, the paranormal romance parts (read: sex scenes) of Alpha and Omega are far more direct than they ever were in Mercy Thompson. Putting the two together leads to some rather strange and questionable scenes, in particular between Anna and Charles that, at least in my opinion, feel like they were never dealt with as they should/could have been.
Worldbuilding-wise, this is a really interesting companion to the Mercy Thompson books. Rather than a single point of view character, Cry Wolf has chapters not only from Anna’s point of view, but also Charles, Asil, and even Bran. It’s really interesting to see some of the backstory of the really old wolves ( Bran is apparently more than a thousand years old? Holy crap. ). Interesting and terrifying.
On top of that, we get a much deeper look into how werewolves work in this world. The whole idea of the Omega wolves is a bit poorly defined and seems kind of bizarre, but it’s dealwithable. On a far more interesting note, there’s a good chunk more about witches than we’ve seen before. They’re not particularly unique compared to other urban fantasy, but they’re still interesting and nicely fleshed out.
Plotwise, Cry Wolf is an interesting counterpoint to the entire Mercy series. As mentioned, while the Mercy books are almost always from Mercy’s point of view, Cry Wolf shifts between several different characters, each with their own biases and voice. While the Mercy series is primarily set in the same urban location, Cry Wolf is set far out in the snowy mountains. It’s a dramatically different environment and really limits the number of characters involved. It’s an interesting contrast.
Overall, I don’t currently like Anna nearly as much as Mercy, but having multiple points of view characters offsets that quite a lot. Plus Charles is far more interesting than either Adam or Samuel. If you like either series though, I think you’ll like both.