The companions will mostly disappear while on horseback. It's unfortunate, but I don't know what else bioware could do. They seem to have enough trouble just getting the companions to walk along side the player character properly (takes up a huge amount of memory from what I hear), let alone doing it with horses. And just having the companions running behind quickly would look ridiculous. Maybe well be able to have all the companions on horse back in future games, but not this one sadly.
A huge amount of memory just to follow your character? I ain't buying that excuse for a minute.
Heck in Everquest, over 15 years ago, it was super-easy to have a 20+ long line of npc's following you (Trains), just aggro th eplayer and chasing them.
I don't see how it could be super-taxing, with modern hardware and technology, not to mention memory (I played EQ with like 256 mb of memory) when most modern pc players have 8GB or more of ram and video cards can have up to 3-4gb of vram...