As I posted in your other thread, I wouldn't use a companion for this at all. They randomly respawn in the wild, and in general are pretty buggy.
However, upon further reflection... I've decided it could be a bounty issue. Make certain you're cleared of a bounty in all holds. Companions are coded as guards, but aren't given a specific hold "faction" so if you've got one anywhere that can bork their coding.
Just another reason I wouldn't use one. Hope it helps. --- Remember: IamI3rian told ya. Funner is NOT a word if you're older than seven.