I can confirm parts of that.
Heroes leading a caravan, family or companion, gain all the Party Leader skill gains -except Steward- and all the individual gains related to actions and fights. So they get Riding or Athletics and Scouting enroute, Trade for their market activities, Roguery for selling off prisoners, Tactics Leadership Medicine for fights, and whichever of their combat skills they are equipped for and is called in the auto-resolution of the fight.
One of the more amusing test observations I have made was last summer in a no-faction Aserai-origin run where I put "Lord" Attributes and Skills on top of a Spicevendor companion and sent her out in full battle gear with a caravan of the best quality. Started out with about 60 Scouting, Tactics, and Leadership (roughly. I simply mirrored what many of the existing Lords of clans get.) She already had moderately good Crossbow, OneHanded, Athletics and of course Trading. **SHE WAS ABSOLUTE MURDER ON DESERT BANDITS.** Intentionally based in the southernmost Aserai town, which has an absurd number of hideouts/spawns on all three routes in and out, her caravan took contact at least twice every run in or out of homebase. She gained 10 more ranks in Tactics, about 50 in Roguery, and a fair bit of Medicine, from all the fights. Amazingly lasted game-years, although limped in with less than a handful of survivors a few times.
I was so impressed that I'd actually suggest that in dynastic play, your might tailor the education of the clan's second generation daughters to be Killer Caravan Commanders... but of course, only if you have a scheme to keep caravans out of wars (like a no-faction run).