Originally Posted by
Suicide Junkie
Aside from showing off your rank by the fact that you've got lackeys and retainers to carry it for you, I imagine there is some sort of encumbrance going on, and they are in some way better off without the weapon.
Carrying a big sword all the time could reduce your agility or even your move (mitigated by mounts).
Being a flying unit could quite reasonably imply a lower base encumbrance limit... Carry too much and you can't get off the ground.
It could also be that a leader who is directly engaged in combat loses some amount of leadership bonus, since they are less able to direct the overall battle when they are busy trying to not croak.
Keeping them back out of the line of fire and/or without a weapon could be improving their leadership and dodge by a little bit at the expense of attack power.