Yes, they are. This has been long discussed; however, I am at work and posting from my phone so I cannot find the link for you now. Threat wounds taken from a companion dying in a skirmish are part of particular skirmish phases, and thus are eligible for
Promise Keeping exertions.
If you want, I'll find the link later. Or, you can use the search feature and find it. Or, maybe Kralik, Heije, Lurtzy, ES, MuadDib, TheJord (where has he been?!) and some other respected members of the community can assert to my correctness.
-wtk