The henchman co-op was first seen in Fable 2... co-op partner was not able to do anything, even get itens and stuff.
Sacred 2 co-op rox and it should be used as a model to RPG/ACTION games. You do not save the story progress to your character, but this is a good thing in fact, because it will allow for more replayability. I mean... you have your Seraphin and you finished the game with your friend (which was the host), then he can join your own game later and finish it with you. I think that is awesome!
Fable 2 co-op sux, DS3 (it seems) may suck too, but Sacred 2 rules, my vriend