Before I explain, I have tried this on 2 characters and confirmed. After you obtain Illia the mage and begin the Companion's quest chain, she is replaced with a different Companion character to which Illia replies, "I will be heading home should you need me." She is supposed to head back to Darklight Tower but never appears. Now on a separate character, I obtained Illia as my companion character but did NOT begin the Compaion quest line of Whiterun. I told her we needed to go our separate ways and she actually went back to Darklight Tower. So it would seem if she is replaced by the Companion quest line, the bug would be she never shows up again. Pretty solid companion character also. Can anyone else verify this?