It wouldn't matter if you could choose their weapons since the companions don't hit what they are shooting at anyway. Even when they do shoot instead of just stand there waiting for you to kill all the enemies. I watched Jaal shooting at a target while on Veold and his shots sprayed all around the enemy without connecting. Very disappointing.
@onemadvagabond That's the matter of weapon accuracy which can be solved by choosing correct weapon i believe. Peebee with pistol actually hits enemies quite well but for next to zero damage. Whereas Cora with shotgun can't land a hit at a distance.
