Has anyone had this happen to them?

Yes... go pick them up and give them back to the companion.

I suspect my follower of having lost an ebony war axe this way...

wow........im not giving any of the daedric weapons to my companions anymore. :blink:

I've lost an Ebony War Axe, a Daedric Bow, and a unique quest mace from this..

And to the first guy who replied, you misread the post. When I say permanent, I mean permanent, it disappears never to return.. GONE TO OBLIVION!