All the companions so far are full of themselves to varying degrees. Gale totally is, Wyll is about 50%, since he talks about himself in 3rd person but also admits to making mistakes. Astarion seems to think he's better than everyone because he was a noble. Lae'zel because she's Githyanki, so automatically superior to everyone else. Shadowheart mostly seems humble except if you give her one particular compliment and she responds, "I know."
So...I don't know, if they could get less arrogant over time, that would be good. I mean, they're fighting lots of battles with you and that should bond you a bit eventually...right?
Mostly I like these characters, it's just a bit distracting how un-humble they can be sometimes, when someone of their experience/wisdom/intelligence would probably know that a lack of humility could be off-putting and therefore risky. Why risk losing the few allies you have when there's a tadpole in your head and whatever other dark secrets you may be running from?