Why Do We Not Use A Fluid With A Higher Thermal Conductivity Than Water In Central Heating Systems?

The conductivity doesn't matter that much, as the heated water is pumped around the system (rather than relying on the conduction of heat). I don't think additives alter the conductivity of the water as such, but it does prevent rust or other deposits being made inside the radiators (which would effectively insulate them and prevent the heat being transfered to the radiator)

Because water is the most cost effective – especially when you think that it may need to be drained reasonably often.