Some of those DMX files do have dodgy animations. The weapon bone is just an attach point and not a bone to which anything is weighted, so I wouldn't worry.

I want to attach other models on blender and other...

You're going to have to handle conflicts like that yourself I'm afraid. You can import the animation separately and copy the bone across if it's missing from the reference mesh. But I suspect that those models are quite severly out of date by now!