"Holomorphic at $a$" is sometimes (always?) taken to mean "complex-differentiable at every point in some open neighborhood of $a$". If $F$ is holomorphic at $a$, then some standard results say that for some $c_n$, $n=0,1,2,\ldots\,{}$,
$$
F(z) = \sum_{n=0}^\infty c_n (z-a)^n
$$
for $|z-a|<\text{some positive number}$. The series converges, and what it converges to is the right thing, $F(z)$. Another standard theorem says that in the interior of the disk of convergence, power series can be differentiated term-by-term, and the derivative has at least as large a radius of convergence. Consequently $F$ has derivatives of all orders in some open neighborhood of $a$. And yet another standard result says $F'=f$ in that neighborhood. So $f$ must itself by expressible as a convergent power series in that neighborhood. Bottom line: $f$ must itself be holomorphic at $a$, in order that $F$ be holomorphic at $a$.