I think this question came up before, when Gollum first came out, and since Gollum's text is optional, it waits.
Treebeard, Enraged Shepherd, on the other hand, would trigger first since its a mandatory action. However,
Treebeard, Enraged Shepherd can be used later, in case you want the first minion still left around for, say, fierce +
Pallando on a vit 2 minion. Because all the actions are chosen like this.
Mandatory: Freeps picks which one first.
Optional.
The placing of a wound is just another mandatory action, albeit one built into the game.
Also, after something occurs, the response abilities may be played ANY time something happens, and they must be resolved IMMEDIATELY. Meaning
Gollum wins skirmish.
Mandatory actions, wound placed.
Response to wound being placed: Companion dies
Response to companion dying: Threats trigger.
Optional Actions: Gollum's text triggers, you have another threat.
Treebeard, Enraged Shepherd wins skirmish.
Mandatory Actions: Ability triggers freeps picks which one goes first, usually exertions because that can often finish the minion then and there.
Response to, say, minion about to take a wound respond with
With All Possible Speed.
Optional Actions, like
Pallando.
This also helps cuz you get to use your
With All Possible Speed before
Pallando trashes it, w00t!
So...my 2 cents.