It's much simpler. The weapon obtained as a quest reward disappears. To keep it, you need to equip the weapon and fight at least one battle with it. Another issue arises if the class doesn't match the weapon's requirements. In that case, the suggestion above is quite relevant – create a hero of the required class and fight a battle with that weapon using that hero. The only caveat is that if you delete that hero later, the weapon might disappear.

This is a real cheat. I agree with Lazy_coma – playing this way isn't fun; it needs to be fixed as soon as possible.