The companions are pretty boring personality wise, though I believe that they do have quests you'll miss out on.
One more question, do you get more feats later on? I didn't take those to start, but figured you'd acquire more feats.
Lone Wolf is a difficulty increase slider. That character can't have henchmen either. It does not replace the power of a full additional character.
Encounter sizes are balanced for four person teams so keep that in mind.
Oh... what's the difference between henchmen and companies?