Astarion is paranoid, been enslaved and traumatised in innumerable ways for hundreds of years, and has just escaped from an environment in which he associates you with his most recent capture and trauma.
Pulling a knife on you really isn't that odd.
ShadowHeart was likely captured on a mission working for Shar where the mission goals are secret, but not necessarily the fact her/her group was from Shar. She might have been part of a commando force where they were all decked out.
What is weird is she doesn't recognise how obvious she now is and tries to hide the fact, not that she has the gear itself.
Either/or though, either her gear or her delusions of secrecy need to go.
Wyll is just a mess of a character IMO and they need to re-do most of it to make his story and timeline coherent.
In general I don't think Larian is prepared to do BG2 style companions where people leave your group either through you actions or inter-party dynamics, partly because they are committed to their Origin character system, and partly because the game just doesn't have enough companion character options.
