Still experimenting, but my current take right now is:
Caravans - yes, worth it. Income will fluctuated day-to-day depending on where they are, what they're selling, etc. But overall, will make good money. Also, they're pretty fast and I think many AI lords just don't attack caravans often anyway. So even if involved in multiple wars, caravans seem to continue doing just fine.
Parties - not worth it before reaching at least Clan Tier 3 and becoming a vassal or leading your own faction. Parties left to themselves, as far as I've seen, roam around and net you a little bit of influence, clan renown, and loot money...but will eventually get themselves wrecked. Not worth the effort/expense of putting together the troops to establish an independent party in the first place. BUT...if you form the party and then combine with your own in an army, that seems worthwhile. I haven't really played with it enough to recognize all the pros/cons of doing so, but I think it's probably a sound choice.
In addition to the two roles above, there's also a third companion choice: settlement governor. So far in my own play, this hasn't been an attractive choice (other than for spouse). But then I have a savefile that doesn't yet have any of the new companions added, either. If you happen to have a combat-weak companion with some Governor perks and is the right culture for a given city/castle, then yeah that might be a good option for them.
As far as roles, am not sure. Note that Surgeon, QM, etc are described as "clan" roles, not "party". Also, many of the perks differentiate between, for example, "Surgeon" and "Party Member"...if Surgeon is intended never to apply outside party anyway, that distinction would be meaningless. Even if they don't currently work outside immediate party (tbh I just haven't paid attention), that may just be a bug or still-unimplemented feature.