You don't necessarily have to level up your henchmen (though you may choose to do so for the fun/immersion); you can tell her to leave the party for a moment. When you retrieve her at The End of Time, she'll gain experience to match your two mains.
As you say, there is no difference between henchmen and companions save backstory, dialogue, comments with plot points, etc.
As to your level, I think overall, people are finding they are leaving the town into the wilderness around level 3-4. The undead out of the west gate (not from the harbour) is the first area to hit. I think generally, you can proceed clockwise?
Fair warning, hard is hardest early on, but I find it a lot of fun.

You'll learn the tactics quick!