As much as I enjoy choices in games to help promote the immersion. I am not a fan of the locked-out content.
Example being if you respond to one of your companions with the wrong answer, they will not progress in the brothel, give a reset or a choice to backtrack. Relying on players having to have numerous save files is okay to offset it, but it is something that could be done away with, even resetting it each day so you have a new opportunity would work.
With that said, there always needs to be consequences to help drive immersion as well, which works perfectly with the scenario when you need to rescue your companion and if you wait too long, it'll be game-over for someone. Winky face.
TLDR: I am a big fan of games where you can accomplish all content in one playthrough which for the most part this game nails on the head (Minus the orc city route where you have two ways to enter).
Are there any big differences from either going to the orc city as a pet or going there with the group?