That gap is the grave where the tall return. One of the meanings of gap is a ravine or pass through mountains. The reader says to the rider that the ravine is a grave, one that brave people return to after their life is over. So the reader is warning the rider about the risk of death; if the rider goes to the gap, the rider will face certain death.
The lacking and Your footsteps feel from granite to grass. I do not believe there should be a comma after lacking. My print edition of Auden does not have one. Nor does the comma appear in this selection of Auden's poems by Richard Hoggart, available on archive.org. Sans comma, the last two lines of the stanza mean: "Do you think that your quest will let you find what's missing in your footsteps when you are on grass rather than granite?" Footsteps are, of course, louder and firmer on granite than on grass. The fearer tells the farer that a quest for louder footsteps (i.e., has more impact) will not be successful.
Horror here refers to the fearful person who is trying to dissuade the heroic one (hearer). The fearful person tells the heroic one that danger and/or death are approaching, in the form of a mysterious bird or figure or disease. The heroic one replies that those calamities are here for the fearful one, not for himself. It's of a piece with the rest of the poem, where the heroic person spurns the caution that the fearful ones advise.
Margherita Volpato's essay notes that the form of the poem uses a mediæval technique of alliteration. Beowulf exemplifies this:
Hwæt. We Gardena in geardagum,
þeodcyninga, þrym gefrunon,
hu ða æþelingas ellen fremedon.
Oft Scyld Scefing sceaþena þreatum,
monegum mægþum, meodosetla ofteah,
Gar / gear; dena / dagum; þeod / þrym; Scyld / Scefing / sceaþena / þreatum; monegum / mægþum / meodosetla. Old English poetry is patterned by alliteration in lines of four stresses each. Auden uses a similar alliterative structure here. "The Three Companions" is in anapæstic tetrameter, and each line has at least one alliteration: reader / rider, fatal / furnaces, midden / madden. Volpato notes the irony of Auden's using a mediæval technique while the poem is about the inevitability of change.
That is to say, the reader, fearer, and horror all try to dissuade the heroic figure from leaving a point of stasis. The use of a bygone mediæval technique illustrates formally this contrast between fixedness and change: Auden uses a superseded form, but he does so to remind us that English poetry has changed over the centuries.
The satire lies, I suppose, in the poem's attitude to the fearful ones. A response of "Out of this house" to the question "Where are you going?" is a non-answer, indicating contempt for the question being asked. So the rider has a satirical attitude to the reader. I personally would not use "satirical" as a way to describe this poem, but I believe that's what Volpato means.
Auden, W H. A Selection: with Notes and a Critical Essay by Richard Hoggart. London: Hutchinson Educational, 1961, reprt. 1964. Accessed from archive.org March 11, 2023.
Volpato, Margherita. "Playing with Fire: The Deceptive Seriousness of Light Verse". Columbia Journal of Literary Criticism 2022. Accessed from c-j-l-c.org March 11, 2023.