If the loan was funded, I would see the need for the additional documentation, and I'm sure that the underwriter would have had a stipulation that the contract be produced as part of the approval process . The loan never made it to closing, and what you have is a request that would be inconvenient to produce.
I can understand why, in a complete loan package, there would be the need to see the contract (compare to appraisal, down payment, transfer of title, etc.), but I would have the IA document why they need it in a loan that never made it to closing.
Integrity. With it, nothing else matters. Without it, nothing else matters.