One advantage of a character being part of a unit is that any Leadership tests the unit takes are then made using the character's Leadership value. If an independent character is part of a unit that falls back he may not leave the unit until it regroups. Independent characters never have to take 'all on your own' tests.
Characters As Leaders
Source: Core Rulebook 3E, p. 76
A unit with a character uses his Leadership for its tests, he cannot leave a falling-back unit until it regroups, and independent characters never take 'all on your own' tests.