A couple of points worth remarking on: there are infinite groups in which a proper subgroup meets every conjugacy class. Perhaps the simplest example is $G = {\rm GL}(n,\mathbb{C}),$
($n >1$), with $T$ the subgroup of upper triangular matrices in $G.$ Then every element of $G$ is conjugate (even by a unitary matrix) to an element of $T,$ but $T$ is clearly a proper subgroup.
Also, you can see the first problem as a natural consequence of the second,and the second can be proved without the first. The second follows from the orbit-counting formula, often attributed to Burnside. I give a simple (and standard) proof in the transitive case: so suppose that (finite) $G$ acts transitively on $\Omega$. Count the ordered pairs $(\alpha,g) \in \Omega \times G$ such that $\alpha.g = \alpha$.
This is $\sum_{ \alpha \in \Omega} |G_{\alpha}| = |G_{\alpha}|[G:G_{\alpha}]$ (for any choice of $\alpha$ = $|G|$.
On the other hand, if we let ${\rm Fix}(g)$ denote the set of fixed points of $G \in G$. the number of ordered pairs above is just $\sum_{g \in G}|{\rm Fix}(g)|.$
Hence $\sum_{g \in G}|{\rm Fix}(g)| = |G|.$ When $|\Omega| >1,$ we conclude that there s some non-identity element $g \in G$ with $|{\rm Fix}(g)| =0,$ since the identity fixes $|\Omega| >1$ elements. This implies that a proper subgroup $H$ of a finite group $G$ does not meet every conjugacy class, for if $H \neq G$ and $\Omega$ is the set of right cosets of $H$ in $G$, then there is some $x \in G$ such that for each $g \in G,$ we have $Hgx \neq Hg.$ Then $gxg^{-1} \not \in H$ for every choice of $g \in G,$ so no conjugate of $x$ lies in $H$.
Hence if $g \in G \backslash Z(G)$ and $H = C_{G}(g),$ there is some element $x \in G$ such that no conjugate of $x$ commutes with $g.$ Hence a group in which any two conjugacy classes have a pair of mutually commuting elements (one from each class) is Abelian.
Another interesting (and well-known) consequence is that if $A$ is a group of automorphisms of the finite group $G$ and $|A|$ and $|G|$ are relatively prime,
then no non-identity element of $A$ fixes every conjugacy class of $G.$ It suffices to consider the case that $A$ is cyclic, and then that $A$ has prime power order. In fact,we may suppose that $A$ has prime order $p$ and that $p$ does not divide $|G|$. Let $a$ be a generator of $A.$ If $a$ fixes every conjugacy class of $G,$ then for each $ x \in G,$ $a$ fixes an element of the conjugacy class of $x,$ since the size of that conjugacy class is $[G:C_{G}(x)],$ hch is primeto $p.$ Hence the subgroup of elements fixed by $a$ meets every conjugacy class of $G,$ so is not proper, a contradiction.