IIRC when you first meet him, you are supposed to follow him to Haemar's Shrine. You can do that right away, or meet him there later, but he's not really following you at all at that point. If you run after him, yeah, I think he'll probably tank anything in your way, but if you lose track of him he's not going to come back to look for you - he'll just continue on to his destination.
After you get the next part of the quest is when he'll start to behave more like a follower, assuming you want him along. If you don't you can tell him to go away and he'll just be waiting back at the shrine.
That's how I remember it anyway.
