Spoiler
Also, he tells you not to kill Cicero and that doing so would make the Dread Father displeased. Indeed, if you don't kill Cicero, he joins the Brotherhood again after it moves to Dawnstar and you can have him as a companion.
Sidequestion: Can companions die, or do they just go down on one knee for a while before getting back up with full health like story-vital NPCs do?