Maybe it's just my bad luck with them.
First Khajiit companion was that caravan guard and I set him up with with my best gear (ebony mail), and he disappears with it. Assuming he ran off and sold it.
Then there isn J'zargo from the mages guild. I do him a favor testing out a scroll and not only does it hurt me, it kills Aska who was next to me and injures Iona who then turned hostile on me.
Anyone else get screwed over from trusting these filthy cats?
Let me quote a great person
M'aiq prefers to adventure alone. Others just get in the way. And they talk, talk, talk.
Some like taking friends on adventures. M'aiq thinks being alone is better. Less arguing about splitting treasure
Something strange happens to Khajiit when they arrive in Skyrim.
M'aiq has heard the people in Skyrim are better-looking than the ones in Cyrodiil. He has no opinion on the matter. All people are beautiful to him.
M'aiq is tired now. Go bother somebody else.
M'aiq is done talking.
Also J'zargo didn't know that the scrolls were bad, that's kinda why he asked you to "test" them

. If you're on PC you can use console commands to place the Khajiit back at you with the armor but likelihood is if he disappeared then somehow something managed to kill him as NPCs return back to their original positions if lost or told to stay still for 3 in-game days.