From a roleplaying perspective, when playing with a NPC Mercenary, it is strange to have the mercenary running behind my character while on a mount. It would be nice to be to assign a mount (from my inventory) to the mercenary. When my toon is traveling on mount then so is my mercenary, and when my toon dismounts so does my mercenary.
It would be nice if they could sit behind you on your mount. I think they disappear completely when you are on a flying mount, but I've never looked down to see if a speck is running along the ground behind me.
Having a mounted merc might sound nice, but it tends to get in the way. That's been my experience with the 87 necro tank pet.
Neat idea but yeah, talk about more screen clutter, especially in a crowded hub like the Skyshrine courtyard. Then of course you have mercs that can't ride mounts, like the golems or the lujien, since they use monster models. Having my merc mounted would just annoy me.