How does combat affect your companion?

Followers can not die. Also noted in this article about companions that can't die.

Good news: no matter what transpires out there in the wasteland, he cannot die.

In fact, none of the companions that may accompany you on your quest across post-apocalyptic Boston can die. Speaking with IGN, Bethesda's Todd Howard discussed the now-immortal companions, a decision the development team made to better serve the player.

Since they can't die, doubt shooting them will bother them much.