I finally did the Kagrumez dungeon on Solstheim and picked up the Steadfast Dwarven Sphere "pet". It was a fun companion, and did well against a lot of the enemies, but expired when it got caught by friendly fire from Illia, who tends to cast area frost spells when they're least needed. Can I go back to Kagrumez later and pick up another?

Yes, the Spider and Sphere (should) respawn.