Alan Shutko
Explorer
This leads me to the question.....what if this had happened with a main quest line? Where I was supposed to bring something *back* to someone? And they got torched? Does that cause a bug? Does the quest just automatically fail? Or are NPCs in such a position unkillable?
Quest NPCs are marked essential for the duration of the quest, so they can't die. The only exception is if keeping the NPC alive is part of the quest.
Also, if my horse, my wardog, or my retainer Lydia die, are any of them replaceable?
You can get more horses, war dogs, and retainers. You can't get specific ones back. (Well, except for one particular horse obtained via a specific quest line.)