Yup, they're pretty common in some dungeons, where at the end of the dungeon there's a drop down to the entrance so you don't have to walk all the way back.
I haven't noticed any missing ones but I don't always have companions with me.
This. And the jumping animation they use is pretty cool. I went into one dungeon where the entrance was a series of jump downs and I thought there is no way he's gonna follow me down (early dungeon with him following me) and he jumped down them all.
Also, I haven't had problems with my follower, Marcurio, swimming with me but I always keep in mind where he is relative to where I am and try to keep an easy path open between us and don't get too far ahead of him. One of the keys to keeping an unmodded Beth companion with you is don't get too far ahead of them. Keep in mind, also, that they navigate via objects placed in the environment that create paths for them (navmesh) and will only go where those are. They jump from those points, they run after you via those, etc. That's why they go such seemingly ludicrous and annoying routes that make no sense to you because you are free to move about any where you wish but they aren't.
And, if a follower gets totally stuck, refuses to follow, insists on taking the long way and gets lost, etc you can use the console to call him/her to you with:
Prid refid (click on the follower in the console to get that number and write it down to keep handy)
Move to player
Oh, the only problem with swimming I've run into is Marcurio decided to fight with slaughterfish one day and wouldn't come out of the water (like the FO3 companions and Mirelurks lol).