It's supposed to only work on enemies up to level 40.

Does it mean that those which level up with me will resist the spell since I'm already lvl 42?

Also, what happens to your Dead Thrall when you go to Skuldafn or Apocrypha?

IDK about the first one,but none of your followers or minions can follow you into apocyrpha

The dead thrall spell maxes out at level 40 for live creatures and 48 for undead creatures if you have necromage. You can get a level 50 something vampire thrall by exploiting a glitch iirc.

They cap out at 40. It does not matter if you get them early and they level up with you. 40. You can probably find a mod to remove the cap.

I've had dead thralls wait outside while I enter so you ought to be fine, but I usually jot down the console code incase they wander off and I want to teleport them to me.