Nicky is NONESSENTIAL! He CAN die in combat. If you want to change this, you're going to have to use a console command. To do this: while in game, press the ` key.
Then bring your cursor to click on Nicky. Once you've clicked, type "gbo" and press enter. It will show you a code (for now I'll show that code as "***" though it 
is a bit longer than 3 chracters). Now type in "setessential *** 1" and press enter. Now Nicky will never die, and will only be knocked out in battle!