I agree. Not Raul in particular, but a companion in general. I don't know the reason for the Courier going to Utah with a caravan, but I really hope I can bring a companion along. I could understand why you couldn't in, for example, Dead Money, but in other DLC you really should be able to.
Tobar the Ferryman from Point Lookout said "I don't do group tours" as an excuse for you being unable to bring your companion. Pretty weak, you should be able to take them with you to PL as well.