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When essential (unkillable) or protected (unkillable by anyone but you) followers run out of health they fall to a knee and loose aggro. If Lydia had ever reached that point you are going to be the only target regardless of whether she can actually be killed or not. You possibly have not even seen her do that or noticed she was down because you aren't likely to run against anything that nasty at expert or lower difficulty except a handful of dungeon bosses.
To actually make Skyrim challenging (without making it tedious) required mods. You can try telling your follower to leave but I'd bet it's still too easy. Or master or legendary difficulty but IMO that just makes enemies damage-sponges and the game tedious to play.
As for unkillable followers, I have heard that other npcs CAN kill 'protected' characters, they just won't intentionally target them. For instance, aoe abilities from other npcs can kill protected followers if they happen to be in the blast radius. Arrows can also kill protected characters if they happen to be between you and whoever is firing the arrow.
As for Lydia being op, what level are you? I think followers can't go below level 5. If you're below level 5, its possible that she looks op because she's currently above you. Just know, that won't last forever. Normally she'll be the same level as you, and also Lydia (along with all housecarls) cap at level 40, so she'll appear to become increasingly weaker beyond that point (unless you give her op gear, of course).
As for things not changing if you set the difficulty higher, that's because the difficulty settings are stupid. All they do is increase the damage you take and reduce the damage you deal. That's it. This means the difficulty slider has NO effect on npcs; how hard they hit each other never changes. A common and op strategy for the higher difficulties is to just bring a follower along and spam healing hands and rally on them, specifically because the difficulty slider doesn't affect them at all, unlike you.
As for me, I personally play on expert, and because I normally play mage and stealth characters I rarely have a follower. To me that difficulty is just perfect. It forces me to actually think about what I'm doing, without making fights stupidly long or giving an unimmersive experience (such as enemies being able to one-shot you in full plate armor while it takes you fifty hits to kill a bandit wearing fur).
Companions also tend to run up ahead even in stealth mode and often step on trap triggers although they'll sometimes follow right behind you. I usually tell them to wait if there a spill of flammable stuff I'm going to light up or If I'm using chain lightening.
Even when waiting though , if there's an enemy engagement within their line of sight, they'll attack. Until recently, I've always played vanilla.
Armor isn't 'cheating' and neither is doing the Companion quests with other NPCs. The same goes for using your Housecarl. Another benefit is that you don't have to leave a dungeon in the middle of exploring it because you can't carry anymore.
Even with a housecarl and a mod companion, some of the Dwarven ruins took two or three trips just to cart stuff out.
Refer to the following for complete and accurate info.
For general info regarding the game, walkthrough of quests, known bugs and possible solutions, this is an invaluable resource:
http://en.uesp.net/wiki/Skyrim:Skyrim
I've already uploaded a mod that makes all Followers essential, as well as beefs up their overall leveling in relation to the player based on their experience level - housecarls are well above the player, as they're the best at what they do in each hold as they come from the Jarl's personal bodyguard pool, and stand ready to replace their current housecarl if the need arises.
I'm working now on a mod that offers enemies the same benefits - some will be matched to the player, some will be well above the player, based on their years of experience "doing what they do".
When I'm done with it, you should find encounters much more difficult, and will actually be reliant on followers throughout most of the game.
However, not all followers will be suited for all levels, as some (mages mostly, but I may edit other followers to match) will only be useful up to a certain player level, encouraging you to explore other followers who are more suited to your (and enemy) higher levels.
And then you'll be hopelessly unprepared when you have to enter a location that doesn't allow you to have a follower, including - importantly - the final part of the main quest. Because the enemies will have levelled up with you, and thus be tougher fighters, but your own higher level will be useless because not enough of it is in your fighting skills...
Also: Upping the difficulty slider makes NPCs and monsters hit harder, and take less damage from attacks. Followers are considered NPCs, so they get the same bonuses as enemies do, which makes them cancel out, but you just try fighting those mobs without a follower...
And like the fire/electric mage I finally managed to kill, after she had killed me twice. I finally equipped a little over 60 protection against fire and electric then had to smack her at least 20 times with a glass--backed with fire--sword. The sword was supposedly doing over 50 points of damage per smack. She's wearing fur armor and a scale helmet.
And my sneak skill is around 70 now, and I am usually detected after one long distance arrow shot. If I look REAL close I can discern a barely visible sliver of health off my usual human opponent. I do at least 5 times as much damage to a woolly mammoth--holding a grand soul. Well, I told myself I needed a break from Fallout 4, but I'm really starting to wish Skyrim had a mode similar to survival mode in FO4.
I've seen Lydia killed by a gargoyle. The second time, was recently with Inigo. I think it was an NPC that killed her, but it may have been a Falmer. There were bandits and Falmer. Both Lydia and Inigo had run off ahead, I got in a separate battle. When I found them, Lydia was face down on the floor, and Inigo saids 'Lydia' s not moving. I'm pretty sure I've seen other Housecarls killed too. I seem to remember being annoyed that I didn't get a replacement.
Pllainly stated in wiki, and if you don't believe that, you can open SSE in xEdit and see the flags set to protected.
In my experience, that doesn't work.
1. She goes down too fast.
2. When she's not down, she stands directly between you and whatever you want to fight.