Your question concerning causality comprises several separate questions which are interesting by themselves.
- Every event has a cause.
That's a useful heuristics. If one wants to explain an event, one should always ask for it cause. Possibly one cause alone is not sufficent for an event. Instead a set of combined causes is necessary.
In addition, one should distinguish between a sufficient cause - the cause alone creates the event - and a necessary cause - if the event happens at least one certain cause must have happened, but other cause are possibly necessary too.
It is an old heuristics, ascribed to Leibniz, that every event has at least one sufficient cause.
- The first cause.
Continuing with the reasoning from paragraph 1) one constructs longer and longer chains of causes. The question comes up for the first cause, necessary as fundament of the whole chain.
As you write, Christian philosophy claims that God, i.e. the Jewish Jahwe, is the first cause of all other causes. In order that nobody raises the question for the cause of God, they claim that God is the cause of himself (Latin: causa sui).
A well-known objection raised against the principle of "causa sui": The principle postulates God as necessary for explanation, but excludes at once God from the chain of reasoning. That's an ad-hoc pseudo-explanation.
- Suspending the principle of sufficient cause.
According to the Kopenhagen interpretation of quantum mechanics certain single-events on the microscale do not have a sufficent cause, e.g. the decay of a radioactive nucleus.
Hence the principle from paragraph 2) does not hold unrestrictedly.
- Circular chains of causality.
The circular possibility from your question is real. A typical example is the Hypercycle (see Manfred Eigen), which combines the creation of nuclein acids with the creation of proteins.