I don't see why Hetairoi Kataphraktoi, or Kataphraktoi Hellenikoi for that matter, would have any trouble hanging in melee if that's what you want them to do. Either will handily crush any skirmisher unit they catch with minimal losses.
Make sure you alt-click when you order a charge that you want to end in sustained melee (against an enemy general, most commonly, but also for the infantry-busting you describe above). Not sure what exactly Bactrians carry as an alternate weapon, but most heavy cav out east has a nice strong AP weapon for melee. As I understand it, the tradeoff is a loss of lethality from the brutal 0.4 of the lance, but you gain quite a lot of attack score (more hits) and attack speed (hidden stat, not on the unit card, I don't know much about this and am repeating hearsay from this forum

). I and many others find this a valuable trick, others have argued it doesn't do much. I haven't seen reports of any detailed tests.
As far as tactics, I personally will only melee with other cav or with skirmisher/missile troops. I don't recommend meleeing with the missile troops with anything but heavy cav (Hetairoi/Kinsmen and better - Baktrion Hippeis are medium, not heavy) though even Prodromoi will probably win against anything but the Archer-Spearmen. Heavy cav can single-handedly demolish any non-phalanx infantry unit in the game, but sustained melee is at most the final endgame and is not strictly necessary. Just charge, pull back, repeat. Even Thorakitai Agema Basilikou will wither away eventually (this is in fact my preferred method of dealing with them); Galatian Klerouchoi and other swordsmen just die like dogs.

So I guess my bottom line would be that yes, cataphracts can do well in melee against most infantry, but that they shouldn't bother against non-skirmisher types since the charge bonus is just so much better. Not sure why you've had trouble meleeing with skirmishers as per your original post; my Hayasdan late bodyguards are slightly inferior to yours (though still pretty awesome!), Kinsmen are weaker than cataphracts, and cataphract HA only have the slow lance for melee. But they all eat Thanvare Payadag, Gund i Palta, etc. for lunch...
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