The only explanation is that somehow steam was offline when you earned the achievement so it didn't register.
Since you are on the PC, you can try this command (Weird things might happen though, so make a save game file first):
This will reset the first thieves guild quest for you to recomplete, and hopefully get the achievement afterwards.
If that didn't work, then you'll probably have to start a new game to complete the quest.
As for the second achievement (One with the Shadows), you won't earn that one until you've completely restored the thieves guild, meaning you did all the 4 special requests from Delvin. After that, you need to become the guild master. If you have done that as well, then its probably another glitch.
As for the companion quest achievement, try (Same warning as above applies):