I initially chose one of my henchmen to be a utility rogue (for sneaking and looting treasures, pickpocketing and blacksmithing).
When I reached level 10 I realised he was holding us back in combat though, so I switched him at level 10 for an archer that had a high damage build (but only level 7).
Now I am level 17.6 and my archer just reached level 17. So it seems they do catch up eventually but at a slow rate.
