You'll get to see their story too, but from a different perspective.
For example (Obvious Spoiler warning):

If you have Lohse as main character and talk to Sheila (the elf kid in the cave) you'll experince a dialog with a demon inside Lohses head that forces you to kill Sheila.
If you have Lohse as companion, she aks if she can talk to her, and then you will see the same thing happening (a demon taking control of Lohse, trying to kill of Sheila) from a 3rd person perspective.

[Insert something funny here]