When using companion NPCs, as the GM, should I roll their checks, allowing the PCs to order the NPCs to perform actions, but not go through the tedious rolls, thus allowing them to focus on their characters alone. while I provide more narrative experience, or should I make them roll to avoid feeling "cheated" if a critical role doesn't go their way?

There is no one right answer. It's up to you. My general guideline:

If the table is small, (~3 players) then it's not a problem to have one of the players roll NPC actions both in and out of combat, knowing that the GM has full veto power over actions that she deems would be "out of character."

If the table is large (5-6 players), then the NPC is more of a fiat plot device, and precious "roll time" should really be allocated to the PC's alone.

My personal preference is to avoid as much as possible having NPCs make skill checks. It's okay for them to pull their weight in a firefight (it's just some extra pew pew pew...), but skill checks drive the story, and I'd rather have PC's drive the story with checks, and use the NPC to drive it with fiat as required.