Skyrim follower in main quest

I've just started The World-Eater's Eyrie in the main quest, but I saw that my companion (Aranea Ienith) didn't follow me. My question is: where did she go ? Did she go back to Azura's shrine or did she get stuck in Dragonsreach ?

I'm just asking because I don't want to play the rest of the main quest and then realise I lost one of my followers.

Your companion can't follow you into Sovngarde, so she will wait for you where you left her. However, all companions don't wait forever and you should receive the message:

Your follower tires of waiting and leaves.

In the case of Aranea, yes back to Azura's shrine.

In the case of the The World-Eater's Eyrie quest, Aranea Ienith will not come back to Azura's Shrine. Any other followers will also not come back to their original locations. They will simply wait for you until you leave the location of the The World-Eater's Eyrie and the succeeding quests (same behaviour as if you went to a dungeon or location where your follower cannot follow you, like the Dark Brotherhood sanctuary) - they'll follow you again automatically after leaving that dungeon or location.

Once you've finished the main quest,

you will find yourself in High Hrothgar with your current follower.

No need to go back to the location where you hired your follower (Azura's Shrine, in Aranea Ienith's case).