I managed to launch a Primary Tab from a Custom Console Component, using this openPrimaryTab sample page as the Custom Console Component.
I had to whitelist the domain that I wanted to launch, so in this case www.salesforce.com in the Service Console App Settings (Whitelist domains)
The Primary Tab does launch alright, although the cross domain error message that you mentioned comes up in the javascript console, I would guess because Visualforce is served up from a different domain.Visualforce is served up from a different domain.