Of course if a sidekick dies, the game is over. They are also willing to stand in a doorway as it closes and be crushed to death so that you don't have to. Further more, they will get in between you and an enemy during combat so that if you miss the bad guy, you will at least hit them and not feel like an idiot for completely missing. Of course, they die because of this and the game is over. But at least you didn't miss.
Players can tell the sidekicks to stay put, fight, follow or pick something up.
For some reason, they frequently refuse to pick up weapons and armor. They sometimes said that they couldn't reach items that were easy enough for me to get to. I nicknamed the sidekicks Ball and Chain by the time I got to the second half of the game. The best way I found to manage the sidekicks was to order them to stay where they were, go clear out the level, find the exit, then go back and escort them through. I am quite sure that this was not the design plan.