I've created Roxie and have told her to come with me several times, even telling her to wait, and then follow me. She follows me everywhere inside the building, but when it's time to leave, she doesn't exit with me. I go back in the building, and she's right there and continues to follow me on the inside.

Yeah, the same thing happened to me. I think it's intentional.

And I was really looking forward to a new companion in this DLC!