The Weapons Vault is what Sir Sheath uses to keep his armory when he not using it. Sheath is very careful when it comes to training a Steed Knight apprentice like Little Valor. During training, they would practice imitation weapon. Valor will be ready to use real weapons in his teen years. Until then, Sheath has been keeping his weapons in a reinforced cabinet with a puzzle lock so Valor, or anypony couldn't get to them. The lock was so complicated, only Sheath knows how to open it.