You can find your save games, usually, in Documents -> Larian Studios -> Baldur's Gate 3 -> PlayerProfiles -> (Your profile name) -> Savegames -> Story
It's true that companions in different hide states will not follow, even when chained, so if that's gotten stuck somehow, that is certainly one possibility for what you're experiencing. That it continues into new games is strange though, I'm not sure what to suggest.
